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Portfolio optimization using multivariate t-copulas with conditionally skewed margins

Shekhar, Chirag; Trede, Mark - In: Review of economics & finance 9 (2017) 3, pp. 29-41

Persistent link: https://www.econbiz.de/10011718727

Essays on multivariate modelling of financial markets using copula and sentiment networks

Tetereva, Anastasija - 2018

Persistent link: https://www.econbiz.de/10011965123

Multiple risk factor dependence structures : copulas and related properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 74 (2017), pp. 109-121

Persistent link: https://www.econbiz.de/10011712411

Risk analysis using regression quantiles : evidence from international equity markets

Guo, Hongtao; Lam, Miranda S.; Wu, Guojun; Xiao, Zhijie - In: The international journal of business and finance … 7 (2013) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10009675606

Foreign vulnerabilities, domestic risks : the global drivers of GDP-at-risk

Lloyd, Simon; Manuel, Ed; Panchev, Konstantin - 2021 - revised 26 April 2022

Persistent link: https://www.econbiz.de/10013259552

Foreign vulnerabilities, domestic risks : the global drivers of GDP-at-Risk

Lloyd, Simon; Manuel, Ed; Panchev, Konstantin - 2021

Persistent link: https://www.econbiz.de/10012795156

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Is gold still a safe haven for stock markets? : new insights through the tail thickness of portfolio return distributions

Echaust, Krzysztof; Just, Małgorzata - In: Research in international business and finance 63 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10014248962

Value-at-risk and the cross section of emerging market hedge fund returns

Ali, Sara; Badshah, Ihsan Ullah; Demirer, Rıza - In: Global finance journal 52 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013412541

Multivariate Fréchet Copulas and Conditional Value-at-Risk

Hürlimann, Werner - 2018

Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas. It fulfills the four most...

Persistent link: https://www.econbiz.de/10012925439