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Statistical arbitrage with vine copulas
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - In: Essays on quantitative finance in the context of …, (pp. 47-88). 2018
Persistent link: https://www.econbiz.de/10011901806
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A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
Pircalabu, Anca; Benth, Fred Espen - In: Energy economics 68 (2017), pp. 283-302
Persistent link: https://www.econbiz.de/10011905725
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Momentum and crash sensitivity
Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017
This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from...
Persistent link: https://www.econbiz.de/10011906204
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Neural network copula portfolio optimization for exchange traded funds
Zhao, Yang; Stasinakis, Charalampos; Sermpinis, Georgios; … - In: Quantitative finance 18 (2018) 5, pp. 761-775
Persistent link: https://www.econbiz.de/10011907933
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Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
Allevi, Elisabetta; Boffino, L.; De Giuli, Maria Elena; … - 2019
Persistent link: https://www.econbiz.de/10012000643
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Time-varying copula models in the shipping derivatives market
Shi, Wenming; Li, Kevin Xingang; Yang, Zhongzhi; Wang, … - In: Empirical economics : a journal of the Institute for … 53 (2017) 3, pp. 1039-1058
Persistent link: https://www.econbiz.de/10011892949
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The Copula ADCC-GARCH model can help PIIGS to fly
Miralles-Quirós, José Luis; Miralles-Quirós, María … - In: Journal of international financial markets, … 50 (2017), pp. 1-12
Persistent link: https://www.econbiz.de/10011896152
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Hedging downside risk of oil refineries : a vine copula approach
Sukcharoen, Kunlapath; Leatham, David J. - In: Energy economics 66 (2017), pp. 493-507
Persistent link: https://www.econbiz.de/10011896556
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Valuation of projects with minimum revenue guarantees : a Gaussian copula-based simulation approach
Hawas, Francisco; Cifuentes, Arturo - In: The engineering economist : a journal devoted to the … 62 (2017) 1, pp. 90-102
Persistent link: https://www.econbiz.de/10011685424
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Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
Safarov, Nemat; Atkinson, Colin - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10011686797