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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

Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2014

Persistent link: https://www.econbiz.de/10010430003

Heavy tails and copulas : limits of diversification revisited

Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107

Persistent link: https://www.econbiz.de/10011620157

Tail dependence and heavy tailedness in extreme risks

Ji, Liuyan; Ken Seng Tan; Yang, Fan - In: Insurance / Mathematics & economics 99 (2021), pp. 282-293

Persistent link: https://www.econbiz.de/10012649222

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506

Persistent link: https://www.econbiz.de/10012031027

A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors

Quatto, Piero; Vacca, Gianmarco; Zoia, Maria Grazia - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013187663

It Pays to Violate : How Effective are the Basel Accord Penalties in Encouraging Risk Management?

Da Veiga, Bernardo - 2010

penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be …

Persistent link: https://www.econbiz.de/10013149149

Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market

Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … great importance to theorists and practitioners. Models used to estimate volatility forecasts are translated into better …

Persistent link: https://www.econbiz.de/10011901688

Hedging strategy for ethanol processing with copula distributions

Awudu, Iddrisu; Wilson, William W.; Dahl, Bruce L. - In: Energy economics 57 (2016), pp. 59-65

Persistent link: https://www.econbiz.de/10011698281

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