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Dynamic autocorrelation and international portfolio allocation

Kinnunen, Jyri; Martikainen, Minna - In: Multinational finance journal 21 (2017) 1, pp. 21-48

Persistent link: https://www.econbiz.de/10012547453

Equity markets risks and returns : implications for global portfolio capital flows during pandemic and crisis periods

Dziuba, Pavlo; Pryiatelchuk, Olena; Rusak, Denys - In: Baltic Journal of Economic Studies 7 (2021) 3, pp. 97-108

Persistent link: https://www.econbiz.de/10012616041

Are international portfolio diversification opportunities decreasing? : evidence from principal component analysis

Todorov, Galin K. - In: International journal of economics and financial issues … 7 (2017) 3, pp. 639-661

Persistent link: https://www.econbiz.de/10011822937

Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes

Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585

Persistent link: https://www.econbiz.de/10012176618

Net transmitter of stock market volatility and safe haven for portfolio investors in the Asian dragons

Lee, Cheng-Wen; Chen, Shu-Hui; Huruta, Andrian Dolfriandra - In: Economies : open access journal 10 (2022) 11, pp. 1-14

heteroskedasticity-autoregressive moving average (GARCH-ARMA) model. The results showed that return spillover effects were observed in …

Persistent link: https://www.econbiz.de/10013499504

International Diversification and Dependence Structure of Equity Portfolios during Market Crashes : The Archimedean Copula Approach

Muteba Mwamba, John Weirstrastrass - 2012

. Using the data from emerging and developed countries; we find that the Clayton copula exhibits strong left tail dependence … Clayton copula is ultimately useful in modelling the left tail dependence structure in bear markets only. In addition; our … markets. The Frank copula is found to be useful in modelling returns with strong positive or negative dependence; while the …

Persistent link: https://www.econbiz.de/10013098035

Portfolio flows and exchange rate volatility : an empirical estimation for BRICS countries

Chaudhari, Dipak R.; Trivedi, Pushpa L.; Kumar, Prabhat - 2023

Persistent link: https://www.econbiz.de/10014315323

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …

Persistent link: https://www.econbiz.de/10012388728

Optimal portfolio allocation with elliptical and mixed copulas

Özgür, Cemile; Sarıkovanlık, Vedat - In: Istanbul business research 52 (2022) 3, pp. 461-480

. Dynamics of the univariate return series are modelled with GARCH processes with Student-t distributed innovations. Following … copulas. From the fitted Mixed and Elliptical copula functions, daily returns of the equities are simulated which are employed … the gap in the literature on the out-of-sample portfolio allocation performance of copula functions where there are still …

Persistent link: https://www.econbiz.de/10014518344

Investing in Emerging Markets : An Asymmetric Stochastic Multivariate Volatility Model to Diversify Efficiently a Portfolio of Assets

Rannou, Yves - 2014

The asset allocation is a practical problem for most institutional and private investors, who routinely deal with a wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over time. Many studies find that the expected returns have...

Persistent link: https://www.econbiz.de/10013055149