Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Dongwhan Kim, Kyu Ho Kang
| Year of publication: |
2021
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|---|---|
| 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
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| Subject: | Bayesian MCMC method | Conditional correlation | Fat tail | Stochastic volatility | Time-varying | Risikomaß | Risk measure | Volatilität | Volatility | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Korrelation | Correlation | Theorie | Theory | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Wechselkurs | Exchange rate | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2020.09.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012792873