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Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach
Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23
-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR …, Sharpe ratio, maximum drawdown, and 99% CVaR. …
Persistent link: https://www.econbiz.de/10012388728
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The impact of extreme events on portfolio in financial risk management
Chuangchid, K.; Kittawit Autchariyapanitkul; Songsak … - In: Robustness in econometrics, (pp. 679-690). 2017
Persistent link: https://www.econbiz.de/10011802012
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Forecasting Bitcoin risk measures : a robust approach
Trucíos, Carlos - In: International journal of forecasting 35 (2019) 3, pp. 836-847
Persistent link: https://www.econbiz.de/10012305182
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Impact of non-normal return and market capitalization on estimation of VaR
Sinha, Pankaj; Agnihotri, Shalini - In: Journal of Indian business research 7 (2015) 3, pp. 222-242
Persistent link: https://www.econbiz.de/10011413255
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A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization
Mba, Jules Clement; Pindza, Edson; Koumba, Ur - In: Financial markets and portfolio management 32 (2018) 4, pp. 399-418
Persistent link: https://www.econbiz.de/10011952000
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Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model
Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148
Persistent link: https://www.econbiz.de/10012176750
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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets
Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151
Persistent link: https://www.econbiz.de/10011703972
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Modeling latent variables in economics and finance
Bluteau, Keven - 2019
–regime and Markov-switching GARCH (MSGARCH) models, from a risk management perspective. I find that, for daily, weekly, and ten … étude à grande échelle empirique pour comparer la` performance de prévision de modèle GARCH sans changement de régime et de … modèle GARCH à changement de régimes Markovien (MSGARCH) du point de vue d’un gestionnaire des risques. Les résultats …
Persistent link: https://www.econbiz.de/10012055679
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Comparison of semi-parametric and benchmark value-at-risk models in several time periods with different volatility levels
Buczyński, Mateusz; Chlebus, Marcin - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 2, pp. 67-82
for main indices from stock exchanges was conducted. The VaR forecasts from GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH … volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility …
Persistent link: https://www.econbiz.de/10011967246