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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

Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014468847

Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets

Hsu, Chun-pin; Huang, Chin-wen; Chiou, Wan-jiun Paul - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 447-468

Persistent link: https://www.econbiz.de/10009690403

Influence of external factors on the Taiwan Stock Exchange

Huang, Chin-wen - In: The international journal of business and finance … 8 (2014) 4, pp. 109-120

Persistent link: https://www.econbiz.de/10010361313

Measuring extreme market risk : The Sri Lankan context

Wijeyakulasuriya, D. A.; Wickremasinghe, W. N. - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 185-201

Persistent link: https://www.econbiz.de/10011407703

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

A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns

Bhattacharyya, Malay; Madhav R, Siddarth - Volkswirtschaftliche Fakultät, … - 2012

The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) ap- proach models the inherent autocorrelation and dynamic...

Persistent link: https://www.econbiz.de/10011259375

Extreme Value at Risk and Expected Shortfall during Financial Crisis

Kourouma, L.; Dupre, D.; Sanfilippo, G.; Taramasco, O. - HAL - 2011

values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for … accuracy models like the conditional EVT model, and this is the case for the assets being studied in this paper. …

Persistent link: https://www.econbiz.de/10009399186

Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets

Hsu, Chun-Pin; Huang, Chin-Wen; Chiou, Wan-Jiun - In: Review of Quantitative Finance and Accounting 39 (2012) 4, pp. 447-468

-extreme-value-based semiparametric approaches. To assess portfolio risk in six Asian markets, we incorporate a combination of extreme value theory (EVT … suggests that the Clayton copula-EVT evinces the best performance regardless of the shapes of the return distributions, and … that in general the copulas with the EVT provide better estimations of VaRs than the copulas with conventionally employed …

Persistent link: https://www.econbiz.de/10010867672

Tail risk of coal futures in China's market

Shen, Ze; Wang, Minglu; Wan, Qing - In: Accounting and finance 63 (2023), pp. 2827-2845

Persistent link: https://www.econbiz.de/10014302188