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Forecasting based on decomposed financial return series : a wavelet analysis

Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433

Persistent link: https://www.econbiz.de/10011580976

Dependency modeling and value-at-risk forecasts for financial portfolios

Berger, Theo - 2013

Persistent link: https://www.econbiz.de/10013432837

Copulas and portfolio strategies : an applied risk management perspective

Berger, Theo; Missong, Martin - In: Journal of risk 17 (2014/15) 2, pp. 51-91

Persistent link: https://www.econbiz.de/10010476248

Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling

Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38

Persistent link: https://www.econbiz.de/10010520086

Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

Al Janabi, Mazin A. M.; Hernandez, Jose Arreola; … - In: European journal of operational research : EJOR 259 (2017) 3, pp. 1121-1131

Persistent link: https://www.econbiz.de/10011695589

On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes

Berger, Theo; Uddin, Mohammed Gazi Salah - In: Energy economics 56 (2016), pp. 374-383

Persistent link: https://www.econbiz.de/10011664267

Tail dependence between gold and sectorial stocks in China : perspectives for portfolio diversification

Beckmann, Joscha; Berger, Theo; Czudaj, Robert; Hoang, … - 2017

This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between gold and Chinese sectorial stock returns. This means that...

Persistent link: https://www.econbiz.de/10011776995

Tail dependence between gold and sectorial stocks in China : perspectives for portfolio diversification

Beckmann, Joscha; Berger, Theo; Czudaj, Robert; Hoang, … - In: Empirical economics : a journal of the Institute for … 56 (2019) 3, pp. 1117-1144

Persistent link: https://www.econbiz.de/10012041701