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~institution:"Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain"
~subject:"Optimal portfolio selection"
~subject:"international returns"
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Optimal portfolio selection
international returns
Value at Risk
2
Value-at-risk
2
risk management
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Bayesian inference
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Expected short-fall
1
Finite mixure
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Foreign exchange markets
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GARCH models
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ML estimation
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Persistence
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VaR efficient portfolio
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Value-at-Risk
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Volatility components
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asymmetric dependence
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canonical vine copula
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iso VaR
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kernel estimators
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quantile
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regime-switching
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Alfonso, VALDESOGO
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Andreas, HEINEN
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Erick, Rengifo
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Loran, CHOLLETTE
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Luc, BAUWENS
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Walid, BEN OMRANE
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Modelling international financial returns with a multivariate regime switching copula
Loran, CHOLLETTE
;
Andreas, HEINEN
;
Alfonso, VALDESOGO
-
Institut de Recherche Économique et Sociale (IRES), …
-
2008
copula is important for risk management, because it modifies the
Value
at
Risk
(VaR) of international portfolio returns. …
Persistent link: https://www.econbiz.de/10004984711
Saved in:
2
Intra-Daily FX Optimal Portfolio Allocation
Luc, BAUWENS
;
Walid, BEN OMRANE
;
Erick, Rengifo
-
Institut de Recherche Économique et Sociale (IRES), …
-
2006
return subject to a
Value-at-Risk
(VaR) constraint. Based on intradaily data, the optimization procedure is carried out at …
Persistent link: https://www.econbiz.de/10004984688
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