Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
type: Item
instance of: scholarly article
title: Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
zbMATH Open document ID: 1392.62311
author: Xisong Jin
author: Thorsten Lehnert
published in: Dependence Modeling
publication date: 2018-06-27T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6895346
zbMATH Keywords: risk management
zbMATH Keywords: assets allocation
zbMATH Keywords: VaR
zbMATH Keywords: ES
zbMATH Keywords: dynamic conditional correlation (DCC)
zbMATH Keywords: dynamic equicorrelation (DECO)
zbMATH Keywords: dynamic copula
MaRDI profile type: Publication
full work available at URL: demo-2018-0002
OpenAlex ID: W2769218858
cites work: Beyond simplified pair-copula constructions
cites work: Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
cites work: Credit risk optimization with conditional Value-at-Risk criterion
cites work: A generalized dynamic conditional correlation model for portfolio risk evaluation
cites work: Q3099631
cites work: Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
cites work: High dimensional dynamic stochastic copula models
cites work: Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
cites work: Out-of-sample comparison of copula specifications in multivariate density forecasts
cites work: Q4593681
cites work: The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
cites work: A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
cites work: Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
cites work: Copula-based multivariate GARCH model with uncorrelated dependent errors
cites work: High-dimensional copula-based distributions with mixed frequency data
DOI: 10.1515/DEMO-2018-0002
description: scientific article; zbMATH DE number 6895346