Search Results - subject:"Dynamic factor copula"

Dynamic factor copula-based modeling for market risk optimization with an application to the real industry in China

Chen, Zhenlong; Zhou, Jialian; Hao, Xiaozhen - In: Journal of innovation & knowledge : JIK 8 (2023) 4, pp. 1-9

Score) model. By combining the dynamic factor model with a mean-ES (Expected Shortfall) model, we construct a dynamic factor … copula-mean-ES model. Our empirical findings, based on an analysis of 24 industries in China, suggest that the dynamic …

Persistent link: https://www.econbiz.de/10014506777

Diversification benefits of commodities in portfolio allocation : a dynamic factor copula approach

Gaete, Michael; Herrera, Rodrigo - In: Journal of commodity markets 32 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014495646

Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics

Bartels, Mariana; Ziegelmann, Flávio A. - In: Insurance / Mathematics & economics 70 (2016), pp. 66-79

Persistent link: https://www.econbiz.de/10011597172