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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model
Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468847
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Portfolio optimization with GARCH-EVT-Copula-CVaR models
Huang, Chin-Wen; Hsu, Chun-Pin - In: Banking and finance review 7 (2015) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10011443808
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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
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Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan; Tan, Ken Seng; Yang, Fan - In: Insurance / Mathematics & economics 99 (2021), pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
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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
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Cryptocurrencies : a copula based approach for asymmetric risk marginal allocations
Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad - 2020
, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR … potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic …
Persistent link: https://www.econbiz.de/10012542685
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Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints
Teplova, Tamara V.; Evgeniia, Mikova; Munir, Qaiser; … - In: Economic change & restructuring 56 (2023) 1, pp. 515-535
Persistent link: https://www.econbiz.de/10013536410
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Improved detection of rare-event risk of a portfolio with US REITs
So, Leh-Chyan; Yu, Jun-Yang - In: Annals of financial economics 10 (2015) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011408574