A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Cuixia Jiang, Xiaoyi Ding, Qifa Xu, Yongbo Tong
| Year of publication: |
2020
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|---|---|
| Authors: | Jiang, Cuixia ; Ding, Xiaoyi ; Xu, Qifa ; Tong, Yongbo |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 51.2020, p. 1-11
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| Subject: | VaR | GARCH | MIDAS-Copula | Mixed data sampling | Portfolio | Time-varying multivariate copula | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Theorie | Theory | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | VAR-Modell | VAR model | Schätzung | Estimation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stichprobenerhebung | Sampling | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.101074 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012659611