Similar Search Results

Schadner, Wolfgang - In: Quantitative finance and economics 5 (2021) 3, pp. 471-495

Persistent link: https://www.econbiz.de/10012592490

Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-25

shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate … and are found to be significant for the volatility index, world market portfolio return, exchange rate, and changes in …

Persistent link: https://www.econbiz.de/10012611728

Modelling international financial returns with a multivariate regime switching copula

Loran, CHOLLETTE; Andreas, HEINEN; Alfonso, VALDESOGO - Institut de Recherche Économique et Sociale (IRES), … - 2008

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copula. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are construted from bivariate conditional copulas and...

Persistent link: https://www.econbiz.de/10004984711

Modeling international financial returns with a multivariate regime switching copula

CHOLLETE, Loran; HEINEN, Andréas; VALDESOGO, Alfonso - Center for Operations Research and Econometrics (CORE), … - 2008

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...

Persistent link: https://www.econbiz.de/10005008223

Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model

HEINEN, Andréas; VALDESOGO, Alfonso - Center for Operations Research and Econometrics (CORE), … - 2009

We propose a new dynamic model for volatility and dependence in high dimensions, that allows for departures from the …

Persistent link: https://www.econbiz.de/10008550163

Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10012520916

Asymmetric Dependence Structures

Anthony Hatherley - 2009

, captured by the correlation matrix, and a higher order component. When these higher order terms are characterised by increased … correlation in bear or bull markets, the effectiveness of diversification strategies is reduced. To the extent that an investor is … that the joint return distribution may be described by an infinite number of higher order co-moments. Correlation (and …

Persistent link: https://www.econbiz.de/10009448767