The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For … this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line … securitization. The fixed transaction costs lead to a formulation of the optimization problem in an impulse control framework. We …

estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of …

ambiguity stemming from ambiguous volatilities of multiple assets or ambiguous correlation between two risky assets. The …