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Exchange rate uncertainty and international portfolio flows : a multivariate GARCH-in-mean approach
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: Journal of international money and finance 54 (2015), pp. 70-92
Persistent link: https://www.econbiz.de/10011476078
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Dynamic autocorrelation and international portfolio allocation
Kinnunen, Jyri; Martikainen, Minna - In: Multinational finance journal 21 (2017) 1, pp. 21-48
Persistent link: https://www.econbiz.de/10012547453
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Evaluation of multivariate GARCH models in an optimal asset allocation framework
Nor Syahilla Abdul Aziz; Vrontos, Spyridon; Hasim, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 568-596
Persistent link: https://www.econbiz.de/10012120131
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A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero; Vacca, Gianmarco; Zoia, Maria Grazia - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
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Markov switching international capital asset pricing model, an emerging market case : Mexico
Valencia-Herrera, Humberto; López Herrera, Francisco - In: Journal of emerging market finance 17 (2018) 1, pp. 96-129
Persistent link: https://www.econbiz.de/10011875622
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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Multivariate GARCH and dynamic copula models for financial time series : with an application to emerging markets
Grziska, Martin - 2015 - 1. Aufl.
Persistent link: https://www.econbiz.de/10010488311
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Empirical performance of an ESG assets portfolio from US market
Pokou, Fredy; Kamdem, Jules Sadefo; Benhmad, François - In: Computational economics 64 (2024) 3, pp. 1569-1638
Persistent link: https://www.econbiz.de/10015143946
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Portfolio optimization using multivariate t-copulas with conditionally skewed margins
Shekhar, Chirag; Trede, Mark - In: Review of economics & finance 9 (2017) 3, pp. 29-41
Persistent link: https://www.econbiz.de/10011718727