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The impact of extreme values on the assessment of financial assets

Mansour, Sihem; Hellara, Slaheddine - In: International journal of monetary economics and finance 8 (2015) 1, pp. 49-70

Persistent link: https://www.econbiz.de/10011374612

Co-movement, dependence structure and ethical investment funds under GFC

Luo, Hang; Bhatti, Muhammad Ishaq - In: Theoretical economics letters 9 (2019) 6, pp. 1852-1872

Persistent link: https://www.econbiz.de/10012239703

The influences of book-to-price ratio and stock capitalization on value-at-risk estimation in Taiwan stock market

Wu, Tsung-Che; Huang, Hung-Hsi; Wang, Ching-Ping; … - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 5, pp. 1055-1072

Persistent link: https://www.econbiz.de/10012211521

Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes

Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585

Persistent link: https://www.econbiz.de/10012176618

Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach

Karmakar, Madhusudan; Paul, Samit - In: The energy journal 44 (2023) 2, pp. 139-179

Persistent link: https://www.econbiz.de/10014249083

Quantifying foreign exchange risk in the selected listed sectors of the Johannesburg Stock Exchange : an SV-EVT pairwise copula approach

Eita, Joel Hinaunye; Djemo, Charles Raoul Tchuinkam - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-29

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign …

Persistent link: https://www.econbiz.de/10013252765

Incorporating ESG into optimal stock portfolios for the global timber & forestry industry

Lööf, Hans; Sahamkhadam, Maziar; Stephan, Andreas - 2022

Persistent link: https://www.econbiz.de/10013194255

Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011654435

Relationship between stock and currency markets conditional on the US stock returns : a vine copula approach

Tachibana, Minoru - In: Journal of multinational financial management 46 (2018), pp. 75-106

Persistent link: https://www.econbiz.de/10012055790

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