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This paper applies the Bayesian GARCH-EVT-copula model to investigate the dependence structure and market risk of the currency exchange rate portfolio from the Malaysian Ringgit perspective.

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This page is a summary of: The dependence structure and portfolio risk of Malaysia's foreign exchange rates: the Bayesian GARCH–EVT–copula model, International Journal of Emerging Markets, October 2020, Emerald,
DOI: 10.1108/ijoem-02-2020-0169.
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