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Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation
Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...
Persistent link: https://www.econbiz.de/10013273511
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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility
Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753
Persistent link: https://www.econbiz.de/10012132469
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Managing downside risk of low-risk anomaly portfolios
Kim, Hyuksoo; Kim, Saejoon - In: Finance research letters 46 (2022) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10013341589
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Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries
Wu, Fei; Ji, Qiang; Ma, Yan-Ran; Zhang, Dayong - In: Journal of the Asia Pacific economy 29 (2024) 3, pp. 1257-1283
Persistent link: https://www.econbiz.de/10015053452
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Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.; Ponrajah, Jeremey - 2024
Persistent link: https://www.econbiz.de/10015052590
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The influence of direct cross-straits shipping on the smooth transition dynamics of stock volatilities of shipping companies
Liu, Hsian-hsi; Wu, Chun-chou; Su, Yi Kai - In: Applied financial economics 22 (2012) 16/18, pp. 1331-1342
Persistent link: https://www.econbiz.de/10009625372
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A note on a new weighted idiosyncratic risk measure
Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198
Persistent link: https://www.econbiz.de/10010458525
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458