Purpose: The authors apply their method to analyze which portfolios are capable of providing superior performance to those based on the Sharpe ratio (SR). Design/methodology/approach: In this paper the authors illustrate the use of conditional copulas for identifying differences in alternative...

This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002), incorporating a flexible non-Gaussian distribution based on Gram-Charlier expansions. The resulting semi-nonparametric-DCC (SNP-DCC) model allows estimation in two stages and deals with the negativity problem...

Growth models under uncertainty and constant relative risk aversion (CRRA) utility are fragile in explaining consumers’ choice, as equilibrium consumption is dependent on distributional assumptions. We show that, under semi-nonparametric distributions, general equilibrium models are stable, as...

Long-range persistence in volatility is widely modelled and forecast in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not straightforward....

This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002), incorporating a flexible non-Gaussian distribution based on Gram-Charlier expansions. The resulting semi-nonparametric-DCC (SNP-DCC) model allows estimation in two stages and deals with the negativity problem...