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Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

Stefanova, Denitsa - 2011

We solve for the optimal portfolio allocation in a setting where both conditional correlation and the clustering of … when dynamic conditional correlation has been accounted for, and vice versa. Both effects have distinct portfolio … both varying levels of average correlation and tail dependence coefficients …

Persistent link: https://www.econbiz.de/10013128428

Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic modelling 31 (2013), pp. 460-466

Persistent link: https://www.econbiz.de/10009730816

Dynamic correlation or tail dependence hedging for portfolio selection

Elkamhia, Redouane; Stefanova, Denitsa - 2010

We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of … when dynamic conditional correlation has been accounted for, andvice versa. Both effects have distinct portfolio … varying levels of average correlation and tail dependence coefficients. …

Persistent link: https://www.econbiz.de/10011383108

Numerical modeling of dependent credit rating transitions with asynchronously moving industries

Boreiko, D. V.; Kaniovski, Yuri M.; Pflug, Georg - In: Computational economics 49 (2017) 3, pp. 499-516

Persistent link: https://www.econbiz.de/10011762130

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Direct and hierarchical models for aggregating spatially dependent catastrophe risks

Wójcik, Rafał; Liu, Charlie Wusuo; Guin, Jayanta - In: Risks : open access journal 7 (2019) 2/54, pp. 1-22

We present several fast algorithms for computing the distribution of a sum of spatially dependent, discrete random variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes from the fact that loss aggregation at branching...

Persistent link: https://www.econbiz.de/10012019121

Implementing a Monte Carlo Simulation : Correlation, Skew, and Kurtosis

McCrary, Stuart - 2015

distributions, kurtotic distributions, or combinations of correlation, skew, and kurtosis …

Persistent link: https://www.econbiz.de/10013014820

Option implied risk-neutral density estimation : a robust and flexible method

Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 54 (2019) 2, pp. 705-728

Persistent link: https://www.econbiz.de/10012134345

Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching

Shaw, William Thornton - 2011

random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

Persistent link: https://www.econbiz.de/10013124340