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Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of forecasting 42 (2023) 8, pp. 2139-2166

Persistent link: https://www.econbiz.de/10014432866

Global financial crisis and dependence risk analysis of sector portfolios : a vine copula approach

Hernandez, Jose Arreola; Hammoudeh, Shawkat; Nguyen, … - In: Applied economics 49 (2017) 25, pp. 2409-2427

Persistent link: https://www.econbiz.de/10011819424

Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX

Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393

Persistent link: https://www.econbiz.de/10011966860

Momentum and crash sensitivity

Ruenzi, Stefan; Weigert, Florian - In: Economics letters 165 (2018), pp. 77-81

Persistent link: https://www.econbiz.de/10011973844

FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies

Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473652

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

Persistent link: https://www.econbiz.de/10014532413

Geographical diversification in wheat farming : a copula-based CVaR framework

Larsen, Ryan; Leatham, David J.; Sukcharoen, Kunlapath - In: Agricultural finance review 75 (2015) 3, pp. 368-384

Persistent link: https://www.econbiz.de/10011341937

Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148

Persistent link: https://www.econbiz.de/10012176750

Tail dependence risk exposure and diversification potential of Islamic and conventional banks

Hernandez, Jose Arreola; Al-Yahyaee, Khamis Hamed; … - In: Applied economics 51 (2019) 44, pp. 4856-4869

Persistent link: https://www.econbiz.de/10012197121

Non-Gaussian models for CoVaR estimation

Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404

Persistent link: https://www.econbiz.de/10014462788