Search Results - subject:"Normal Tempered Stable distribution"

Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-23

This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...

Persistent link: https://www.econbiz.de/10014332431

Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23

Persistent link: https://www.econbiz.de/10013273511

Modeling exchange rate volatility : application of GARCH models with a Normal Tempered Stable distribution

Charfi, Sahar; Mselmi, Farouk - In: Quantitative finance and economics 6 (2022) 2, pp. 206-222

Persistent link: https://www.econbiz.de/10013498930

Tempered stable processes with time-varying exponential tails

Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561

Persistent link: https://www.econbiz.de/10013167779

Factor copula model for portfolio credit risk

Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012652691

Foster-Hart optimization for currency portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10012054888

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered … stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable …

Persistent link: https://www.econbiz.de/10010310075

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2012

Persistent link: https://www.econbiz.de/10010954935

Foster-Hart optimal portfolios

Anand, Abhinav; Li, Tiantian; Kurosaki, Tetsuo; Kim, … - In: Journal of banking & finance 68 (2016), pp. 117-130

Persistent link: https://www.econbiz.de/10011634807

Applied mean-ETL optimization in using earnings forecasts

Shao, Barret Pengyuan; Rachev, Svetlozar T.; Mu, Yu - In: International journal of forecasting 31 (2015) 2, pp. 561-567

Persistent link: https://www.econbiz.de/10011474402