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Forecasting volatility for an optimal portfolio with stylized facts using copulas

Karmous, Aida; Boubaker, Heni; Belkacem, Lotfi - In: Computational economics 58 (2021) 2, pp. 461-482

Persistent link: https://www.econbiz.de/10012615046

Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach

Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377

Persistent link: https://www.econbiz.de/10009705653

Portfolio value at risk bounds using extreme value theory

Slim, Skander; Gammoudi, Imed; Belkacem, Lotfi - In: International journal of economics and finance 4 (2012) 3, pp. 204-215

Persistent link: https://www.econbiz.de/10009613339

Portfolio Value-at-Risk Bounds Using Extreme Value Theory

Imed, Gammoudi - 2010

The aim of this paper is to apply a semi-parametric methodology developed by Mesfioui and Quessy (2005) to derive the Value-at-Risk bounds for portfolios of possibly dependent financial assets when the marginal return distribution is in the domain of attraction of the generalized extreme value...

Persistent link: https://www.econbiz.de/10013146193

Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model

Gammoudi, Imed; El Ghourabi, Mohamed; Belkacem, Lotfi - In: The journal of risk model validation 10 (2016) 3, pp. 49-68

Persistent link: https://www.econbiz.de/10011587684

Reserve modelling and the aggregation of risks using time varying copula models

Araichi, Sawssen; Peretti, Christian de; Belkacem, Lotfi - In: Economic modelling 67 (2017), pp. 149-158

Persistent link: https://www.econbiz.de/10011813794