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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
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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
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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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Portfolio management using time-varying vine copula : an application on the G7 equity market indices
Nguyen, Phong Minh; Liu, Wei-Han - In: The European journal of finance 29 (2023) 11, pp. 1303-1329
Persistent link: https://www.econbiz.de/10014323006
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Risk, return and international portfolio diversification : K-means clustering data
Dziuba, Pavlo; Glukhova, Darya; Shtogrin, Kyryl - In: Baltic Journal of Economic Studies 8 (2022) 3, pp. 53-64
Persistent link: https://www.econbiz.de/10013448685
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Fixed-income portfolio allocation including hedge fund strategies : a copula opinion pooling approach
Stein, Michael; Füss, Roland; Drobetz, Wolfgang - In: The journal of fixed income 18 (2008/09) 4, pp. 78-91
Persistent link: https://www.econbiz.de/10003848046
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Time-varying dependence dynamics between international commodity prices and Australian industry stock returns : a perspective for portfolio diversification
Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - In: Energy economics 108 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013203257
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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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Regional and copula estimation effects on EU and US energy equity portfolios
Hanif, Waqas; Hernandez, Jose Arreola; Shahzad, Syed … - In: Applied economics 52 (2020) 49, pp. 5311-5342
Persistent link: https://www.econbiz.de/10012307235
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Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013413442