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Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad; Goodwin, Barry K. - In: Applied economics 53 (2021) 4, pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
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Can fat-tail create the momentum and reversal?
Bae, Kwangil; Kang, Hankil; Kang, Jangkoo - In: Applied economics 52 (2020) 44, pp. 4850-4863
Persistent link: https://www.econbiz.de/10012306509
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Portfolio management with tail dependence
Bergmann, Daniel Reed; Savoia, José Roberto Ferreira; … - In: Applied economics 50 (2018) 51, pp. 5510-5520
Persistent link: https://www.econbiz.de/10012062255
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Portfolio selection based on predictive joint return distribution
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Liu, Yezheng - In: Applied economics 51 (2019) 2, pp. 196-206
Persistent link: https://www.econbiz.de/10012160468
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Student-t distribution based VAR-MGARCH : an application of the DCC model on international portfolio risk management
Ku, Yuan-Hung Hsu - In: Applied economics 40 (2008) 13/15, pp. 1685-1697
Persistent link: https://www.econbiz.de/10003743366
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Tail dependence and diversification benefits in emerging market stocks : an extreme value theory approach
Ergen, Ibrahim - In: Applied economics 46 (2014) 19/21, pp. 2215-2227
Persistent link: https://www.econbiz.de/10010417299
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Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano; Geman, Hélyette; Romagnoli, Silvia - In: Applied economics 52 (2020) 26, pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
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Can cryptocurrencies be a safe haven : a tail risk perspective analysis
Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762
Persistent link: https://www.econbiz.de/10012061627
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The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
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Estimating individual valuation distributions with multiple bounded discrete choice data
Wang, Hua; He, Jie - In: Applied economics 43 (2011) 19/21, pp. 2641-2656
Persistent link: https://www.econbiz.de/10009379648