Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10009744769
Persistent link: https://www.econbiz.de/10009724823
Persistent link: https://www.econbiz.de/10009701642
Persistent link: https://www.econbiz.de/10009410472
Persistent link: https://www.econbiz.de/10009410482
Persistent link: https://www.econbiz.de/10010365773
This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually...
Persistent link: https://www.econbiz.de/10010349457
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...
Persistent link: https://www.econbiz.de/10011543960
Persistent link: https://www.econbiz.de/10010410215
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the...
Persistent link: https://www.econbiz.de/10010414201