Portfolio optimization based on GARCH-EVT-Copula forecasting models
Maziar Sahamkhadam, Andreas Stephan, Ralf Östermark
| Year of publication: |
2018
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|---|---|
| Authors: | Sahamkhadam, Maziar ; Stephan, Andreas ; Östermark, Ralf |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 34.2018, 3, p. 497-506
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| Subject: | GARCH models | Extreme value theory | Copula models | Conditional value-at-risk | Portfolio optimization | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1319-1320 |
| Other identifiers: | 10.1016/j.ijforecast.2018.02.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012031027