Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining …: a multidimensional Gaussian copula model and a constant mix portfolio. Our empirical analysis shows that the Mixed … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …

. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of … copula autoregressive (COPAR) approach to model the dependence of unobserved multivariate factors resulting from two dynamic … copula models for stationary multivariate time series. An empirical study illustrates the forecasting superiority of our …