Similar Search Results

Multivariate dynamic Copula models : parameter estimation and forecast evaluation

Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015

This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...

Persistent link: https://www.econbiz.de/10011344180

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

The impact of extreme events on portfolio in financial risk management

Chuangchid, K.; Kittawit Autchariyapanitkul; Songsak … - In: Robustness in econometrics, (pp. 679-690). 2017

Persistent link: https://www.econbiz.de/10011802012

Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach

B. Sabino da Silva, Fernando - 2018

Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …

Persistent link: https://www.econbiz.de/10012931953

Modeling multivariate operational losses via copula-based distributions with g-and-h marginals

Bee, Marco; Hambuckers, Julien - 2020

Persistent link: https://www.econbiz.de/10012417238

Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach

Hakim, Arief; Syuhada, Khreshna - 2023

global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its …-called multivariate conditional value-at-risk (MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a … Delta MCoVaR, we found the crypto assets to be potential sources of systemic risk jointly transmitted within the crypto …

Persistent link: https://www.econbiz.de/10014234393