Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
From MaRDI portal
Publication:1648677
DOI10.1515/demo-2018-0002zbMath1392.62311OpenAlexW2769218858MaRDI QIDQ1648677
Publication date: 27 June 2018
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2018-0002
risk managementVaRdynamic copulaESdynamic conditional correlation (DCC)assets allocationdynamic equicorrelation (DECO)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Portfolio theory (91G10)
Related Items (2)
Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition ⋮ Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
Cites Work
- Unnamed Item
- Unnamed Item
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Beyond simplified pair-copula constructions
- Out-of-sample comparison of copula specifications in multivariate density forecasts
- High-dimensional copula-based distributions with mixed frequency data
- High dimensional dynamic stochastic copula models
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
- A generalized dynamic conditional correlation model for portfolio risk evaluation
- Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
- Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Credit risk optimization with conditional Value-at-Risk criterion
This page was built for publication: Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
