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Green bonds are a type of fixed-income instrument that is specifically used to raise funds for projects with environmental benefits to mitigate and adapt to climate change. China's green bond market expanded rapidly in recent years due to national push for net-zero emissions and the growing...
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This paper develops a robust portfolio optimization model based on regime switching R-Vine copulas, where regime switching R-Vine copulas capture asymmetric dependence and regime switching in financial markets. We consider the uncertainty in hidden economic states and define WSCVaR as CVaR in...
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In this paper we examine the effect of default correlation on the price, duration and convexity of a bond portfolio. We use Clayton copula and t copula to characterize the default dependence structure. Our main result shows that, under these two types of default dependence structure, while the...
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Based on GJR-GARCH-CVaR and Vine copula model, we explore the interdependence of Chinese art with other assets and portfolio performance containing stocks, bonds, forex, and art. The results show that D-vine copulas can better portray the multi-asset asymmetric dependence structure and art can...
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