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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

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

Markov random fields on time-varying graphs, with an application to portfolio selection

Talih, Makram - 2003

Persistent link: https://www.econbiz.de/10003629377

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

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

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