Portfolio optimization based on GARCH-EVT-Copula forecasting models
Year of publication: |
2018
|
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Authors: | Sahamkhadam, Maziar ; Stephan, Andreas ; Östermark, Ralf |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 34.2018, 3, p. 497-506
|
Subject: | GARCH models | Extreme value theory | Copula models | Conditional value-at-risk | Portfolio optimization | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers |
Description of contents: | Description [doi.org] |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1319-1320 |
Other identifiers: | 10.1016/j.ijforecast.2018.02.004 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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