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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
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Integrating operational and financial risk assessments
Figini, Silvia; Kenett, Ron; Salini, Silvia - 2010
Persistent link: https://www.econbiz.de/10011752232
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Axiomatizing bounded rationality : the priority heuristic
Drechsler, Mareile; Katsikopoulos, Konstantinos V.; … - In: Theory and decision : an international journal for … 77 (2014) 2, pp. 183-196
Persistent link: https://www.econbiz.de/10010481276
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Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests
Koliai, Lyes - In: Journal of banking & finance 70 (2016), pp. 1-22
Persistent link: https://www.econbiz.de/10011635106
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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach
Karmakar, Madhusudan; Paul, Samit - In: The energy journal 44 (2023) 2, pp. 139-179
Persistent link: https://www.econbiz.de/10014249083
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A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
Chu, Carlin C. F.; Li, Simon S. W. - In: Computational management science 21 (2024) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10014442615
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Quantifying foreign exchange risk in the selected listed sectors of the Johannesburg Stock Exchange : an SV-EVT pairwise copula approach
Eita, Joel Hinaunye; Djemo, Charles Raoul Tchuinkam - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-29
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign …
Persistent link: https://www.econbiz.de/10013252765
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Canonical vine copulas in the context of modern portfolio management : are they worth it?
Low, Rand Kwong Yew; Alcock, Jamie; Faff, Robert W.; … - In: Journal of banking & finance 37 (2013) 8, pp. 3085-3099
Persistent link: https://www.econbiz.de/10009777123
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On copula-based collective risk models : from elliptical copulas to vine copulas
Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo - In: Scandinavian actuarial journal 2021 (2021) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012484027