Showing 1 - 8 of 8
In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...
Persistent link: https://www.econbiz.de/10015084442
This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...
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The main contribution of this paper is the derivation of the asymptotic behaviour of the out-of-sample variance, relative loss, and of their empirical counterparts in the high-dimensional setting. The results are obtained for the traditional estimator of the global minimum variance portfolio,...
Persistent link: https://www.econbiz.de/10014257497
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...
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