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Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures

Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109

Persistent link: https://www.econbiz.de/10012169513

How often is the financial market going to collapse?

Frahm, Gabriel - In: Quantitative finance and economics 2 (2018) 3, pp. 590-614

Persistent link: https://www.econbiz.de/10012156795

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506

Persistent link: https://www.econbiz.de/10012031027

Portfolio management with tail dependence

Bergmann, Daniel Reed; Savoia, José Roberto Ferreira; … - In: Applied economics 50 (2018) 51, pp. 5510-5520

Persistent link: https://www.econbiz.de/10012062255

Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence

Gong, Xiao-Li; Xiong, Xiong - In: Finance research letters 38 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012490240

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

Time-varying mixture copula models with copula selection

Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2021

Persistent link: https://www.econbiz.de/10012602628

Detecting structural differences in tail dependence of financial time series

Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392

Persistent link: https://www.econbiz.de/10012262482

Dynamic D-vine copula model with applications to Value-at-Risk (VaR)

Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: Journal of time series econometrics 11 (2019) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012022874

Dependent Risk Models with Archimedean Copulas : A Computational Strategy Based on Common Mixtures and Applications

Cossette, Hélène - 2017

In this paper, we investigate dependent risk models in which the dependence structure is defined by an Archimedean … copula. Using such a structure with specific marginals, we derive explicit expressions for the pdf of the aggregated risk and … are then used to investigate risk models in regard to aggregation, capital allocation and ruin problems. An extension to …

Persistent link: https://www.econbiz.de/10012958007