Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Guoli Mo, Weiguo Zhang, Chunzhi Tan, Xing Liu
| Year of publication: |
2022
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| Authors: | Mo, Guoli ; Zhang, Weiguo ; Tan, Chunzhi ; Liu, Xing |
| 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. 59.2022, p. 1-23
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| Subject: | International portfolio risk | Spatial dependence | Tail dependence | Vine copulas | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Risiko | Risk | Welt | World | Risikomaß | Risk measure | Korrelation | Correlation | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Internationaler Finanzmarkt | International financial market | Schätzung | Estimation | Räumliche Interaktion | Spatial interaction |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101570 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013413442