Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Year of publication: |
2021
|
---|---|
Authors: | Kim, Dongwhan ; Kang, Kyu Ho |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 2, p. 838-861
|
Subject: | Bayesian MCMC method | Conditional correlation | Fat tail | Stochastic volatility | Time-varying | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Theorie | Theory | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Wechselkurs | Exchange rate |
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