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Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas

Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013455804

Can crop yield risk be globally diversified?

Liu, Xiaoliang; Xu, Wei; Odening, Martin - 2011

In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some … of the world's major production regions have been quoted as one factor among others for the price boom. Against this … occur every 15 years. -- crop yield risk ; fully nested hierarchical Archimedean copulas (FNAC) ; price boom …

Persistent link: https://www.econbiz.de/10008905982

Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds

Caillault, Cyril; Monier, Stéphane - In: Interest rate models, asset allocation and quantitative …, (pp. 158-177). 2010

Persistent link: https://www.econbiz.de/10008746615

Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds

Caillault, Cyril; Monier, Stéphane - In: Interest rate models, asset allocation and quantitative …, (pp. 158-177). 2010

Persistent link: https://www.econbiz.de/10003940928

Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement

Weiß, Gregor - In: Kredit und Kapital 44 (2011) 4, pp. 543-577

Persistent link: https://www.econbiz.de/10009504812

Strategic asset allocation for China's foreign reserves : a copula approach

Zhang, Zhichao; Zhang, Fan; Zhang, Zhuang - In: China & world economy 21 (2013) 6, pp. 1-21

Persistent link: https://www.econbiz.de/10010251410

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach

Christoffersen, Peter - 2013

International equity markets are characterized by nonlinear dependence and asymmetries. We propose a new dynamic asymmetric copula model to capture long-run and short-run dependence, multivariate nonnormality, and asymmetries in large cross-sections. We find that copula correlations have...

Persistent link: https://www.econbiz.de/10013090940

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

Could holding multiple safe havens improve diversification in a portfolio? : the extended skew-t vine copula approach

Chang, Meng-Shiuh; Yuan, Jing; Xu, Jing - In: Journal of risk 21 (2018/2019) 4, pp. 61-91

Persistent link: https://www.econbiz.de/10012059925

Vulnerability-CoVaR : investigating the crypto-market

Waltz, Martin; Singh, Abhay Kumar; Okhrin, Ostap - In: Quantitative finance 22 (2022) 9, pp. 1731-1745

Persistent link: https://www.econbiz.de/10013367943