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Diversification evidence from international equity markets using extreme values and stochastic copulas
Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646
Persistent link: https://www.econbiz.de/10009623538
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The Analysis of Value at Risk for Precious Metal Returns by Applying Extreme Value Theory, Copula Model and GARCH Model
Khemawanit, Kritsana - 2016
This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … ARMA-GARCH equations based on the student t distribution. Second, we extract the filtered residuals from such estimation …
Persistent link: https://www.econbiz.de/10012976965
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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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Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach
Karmakar, Madhusudan - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 275-291
Persistent link: https://www.econbiz.de/10011792337
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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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Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach
Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28
Theory. We utilise the GARCH-EVT approach in combination with a novel algorithm to automatically determine the optimal …
Persistent link: https://www.econbiz.de/10013380409
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Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model
Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148
Persistent link: https://www.econbiz.de/10012176750
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How fat are the tails of equity market indices?
Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10010412236