Search Results - subject:"(c)DCC-GARCH"

Risk-based portfolios with large dynamic covariance matrices

Nakagawa, Kei; Imamura, Mitsuyoshi; Yoshida, Kenichi - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-14

In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and...

Persistent link: https://www.econbiz.de/10011996106

Risk-based portfolios with large dynamic covariance matrices

Nakagawa, Kei; Imamura, Mitsuyoshi; Yoshida, Kenichi - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10011883260

Dependencies and systemic risk in the European insurance sector : new evidence based on Copula-DCC-GARCH model and selected clustering methods

Denkowska, Anna; Wanat, Stanisław - In: Entrepreneurial business and economics review : EBER 8 (2020) 4, pp. 7-27

model (C-DCC-GARCH). In each of the identified market regimes we determine the Conditional Value at Risk CoVaR systemic risk … using the C-DCC-GARCH model with taxonomic methods. …

Persistent link: https://www.econbiz.de/10012518112