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1
Stressed portfolio optimization with semiparametric method
Han, Chuan-Hsiang
;
Wang, Kun
- In:
Financial innovation : FIN
8
(
2022
),
pp. 1-34
modeling components: the nonparametric estimation and
copula
method for each marginal distribution of the portfolio and their …
Persistent link: https://www.econbiz.de/10013170237
Saved in:
2
Dynamic hedge fund portfolio construction : a semi-parametric approach
Harris, Richard D. F.
;
Mazibas, Murat
- In:
Journal of banking & finance
37
(
2013
)
1
,
pp. 139-149
Persistent link: https://www.econbiz.de/10009675549
Saved in:
3
We don't need no fancy hedges! Or do we?
Vedenov, Dmitrij V.
;
Power, Gabriel J.
- In:
International review of financial analysis
81
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013375398
Saved in:
4
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed
copula
using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
5
Solvency II and diversification effect for non-life premium and reserves risk : new results based on non-parametric copulas
Szczęsny, Krystian
;
Wanat, Stanisław
;
Denkowska, Anna
- In:
Risk management : an international journal
25
(
2023
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014326598
Saved in:
6
Estimating dynamic
copula
dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Saved in:
7
Semiparametric estimation of expected shortfall and its application in finance
Fang, Yan
;
Li, Jian
;
Liu, Yinglin
;
Zhao, Yunfan
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 835-851
Persistent link: https://www.econbiz.de/10014292830
Saved in:
8
Conditional systemic risk with penalized
copula
Okhrin, Ostap
;
Ristig, Alexander
;
Sheen, Jeffrey R.
; …
-
2015
, conditional quantiles are specified via hierarchical Archimedean
copula
. The parameters and structure of this
copula
are …
Persistent link: https://www.econbiz.de/10011309638
Saved in:
9
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
10
Remarks on a
copula
-based conditional value at risk for the portfolio problem
Molina Barreto, Andres Mauricio
;
Ishimura, Naoyuki
- In:
Intelligent systems in accounting, finance & management
30
(
2023
)
3
,
pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
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