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Capital allocation based on the tail covariance premium adjusted
Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131
Persistent link: https://www.econbiz.de/10010402702
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Long memory and asymmetry for matrix-exponential dynamic correlation processes
Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 7 (2015) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10010510043
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Asymptotic results for conditional measures of association of a random sum
Asimit, Alexandru V.; Chen, Yiqing - In: Insurance / Mathematics & economics 60 (2015), pp. 11-18
Persistent link: https://www.econbiz.de/10010484845
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On the correlation between commodity and equity returns : implications for portfolio allocation
Lombardi, Marco; Ravazzolo, Francesco - 2013
Persistent link: https://www.econbiz.de/10009782578
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Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011
autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …
Persistent link: https://www.econbiz.de/10009126699
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Markov random fields on time-varying graphs, with an application to portfolio selection
Talih, Makram - 2003
Persistent link: https://www.econbiz.de/10003629377
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Portfolio return distributions : sample statistics with stochastic correlations
Chetalova, Desislava; Schmitt, Thilo A.; Schäfer, Rudi; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011403228
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Measuring systemic risk : common factor exposures and tail dependence effects
Chiu, Wan-Chien; Peña Sánchez de Rivera, Juan Ignacio; … - In: European financial management : the journal of the … 21 (2015) 5, pp. 833-866
Persistent link: https://www.econbiz.de/10011408533
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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
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Modeling dynamic volatilities and correlations under skewness and fat tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011
autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …
Persistent link: https://www.econbiz.de/10011386468