Hammoudeh, Shawkat; Araújo Santos, Paulo; Al-Hassan, … - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 318-334
assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of … these assets, three optimal portfolios and their efficient frontiers within a VaR framework are constructed and the returns … and downside risks for these portfolios are also analyzed. One-day-ahead VaR forecasts are computed with nine risk models …