Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model

• Marius Galabe Sampid,

  Roles Data curation, Formal analysis, Investigation, Methodology, Resources, Software, Validation, Visualization, Writing – original draft, Writing – review & editing

  Affiliation Department of Mathematical Sciences, University of Essex, Colchester, United Kingdom

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• Haslifah M. Hasim ,

  Roles Conceptualization, Data curation, Investigation, Methodology, Project administration, Supervision, Validation, Visualization, Writing – review & editing

  * E-mail: hhashim@essex.ac.uk

  Affiliation Department of Mathematical Sciences, University of Essex, Colchester, United Kingdom

  http://orcid.org/0000-0003-4321-8803

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• Hongsheng Dai

  Roles Conceptualization, Methodology, Supervision, Validation, Visualization

  Affiliation Department of Mathematical Sciences, University of Essex, Colchester, United Kingdom

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