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Return distribution predictability and its implications for portfolio selection
Zhu, Min - In: International review of economics & finance : IREF 27 (2013), pp. 209-223
Persistent link: https://www.econbiz.de/10009740823
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Portfolio management under asymmetric dependence and distribution
Hlawatsch, Stefan; Reichling, Peter - In: The international journal of finance 23 (2011) 1, pp. 6645-6671
Persistent link: https://www.econbiz.de/10009655286
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Do Islamic indices provide diversification to bitcoin? : a time-varying copulas and value at risk application
Ur Rehman, Mobeen; Asghar, Nadia; Kang, Sang Hoon - In: Pacific-Basin finance journal 61 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012494418
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Tail dependence in financial markets : a dynamic copula approach
Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14
in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the …
Persistent link: https://www.econbiz.de/10012127765
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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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Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach
Sim, Nicholas - In: International review of financial analysis 48 (2016), pp. 31-45
Persistent link: https://www.econbiz.de/10011624367
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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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A copula-GARCH model for macro asset allocation of a portfolio with commodities : an out-of-sample analysis
Riccetti, Luca - 2011
Persistent link: https://www.econbiz.de/10011719805
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From moments, co-moments and mean-variance weights to copula portfolio allocation
Riccetti, Luca - 2010
Persistent link: https://www.econbiz.de/10011720044
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Bayesian inference for latent factor copulas and application to financial risk forecasting
Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23
using historical data on European financial stocks that forecasts portfolio Value at Risk (VaR) and Expected Shortfall (ES). …
Persistent link: https://www.econbiz.de/10011654443