This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between the time range of 24 February 2009 and 19...

In this study, we develop a two-step asset allocation strategy that identifies the tail risk of a benchmark asset and uses multi-moment dynamic portfolio selection to account for possible conditional non-normality of portfolio returns. The TEDAS - Tail Event Asset Allocation strategy is based on...

We explore extreme return-volumes dependence among different cryptocurrencies such as Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter out margins by using the EGARCH model for return...