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Relation between higher order comoments and dependence structure of equity portfolio
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - In: Journal of empirical finance 40 (2017), pp. 101-120
Persistent link: https://www.econbiz.de/10011744455
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Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
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Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Is gold a safe haven or a hedge for the US dollar? : implications for risk management
Reboredo, Juan Carlos - In: Journal of banking & finance 37 (2013) 8, pp. 2665-2676
Persistent link: https://www.econbiz.de/10009776518
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Dependence between stock market and foreign exchange market in South Asia : a copula-garch approach
Bin Kamal, Javed; Haque, A. K. Enamul - In: The journal of developing areas 50 (2016) 1, pp. 175-194
Persistent link: https://www.econbiz.de/10011576474
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Modelling the bivariate dependence structure of exchange rates before and after the introduction of the Euro : a semi-parametric approach
Boero, Gianna; Silvapulle, Paramsothy; Tursunalieva, Ainura - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 357-374
Persistent link: https://www.econbiz.de/10009508876
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Assessing some stylized facts about financial market indexes : a Markov copula approach
Silva Filho, Osvaldo Candido da; Ziegelmann, Flávio A. - In: Journal of economic studies 41 (2014) 2, pp. 253-271
Persistent link: https://www.econbiz.de/10010259266
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Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor - In: Journal of risk 16 (2013/2014) 4, pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
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Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10011704143