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Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Ayala, Astrid; Blazsek, Szabolcs; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 705-731
Persistent link: https://www.econbiz.de/10014506866
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On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo - In: Economic modelling 58 (2016), pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
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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
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Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38
Persistent link: https://www.econbiz.de/10010520086
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Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
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Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2014
Persistent link: https://www.econbiz.de/10010430003
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Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?
Fritzsch, Simon; Timphus, Maike; Weiß, Gregor - In: Journal of banking and finance 158 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014451960
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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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Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach
Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23
Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in...
Persistent link: https://www.econbiz.de/10012388728
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Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
Bartels, Mariana; Ziegelmann, Flávio A. - In: Insurance / Mathematics & economics 70 (2016), pp. 66-79
Persistent link: https://www.econbiz.de/10011597172