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Portfolio Optimization Based on GARCH-EVT-Copula Forecasting Models
International Journal of Forecasting, 2018 This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional
Andreas Stephan +2 more
exaly +2 more sources
Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches [PDF]
Emerging Science JournalThis research paper presents a comprehensive analysis of three prominent volatility and dependence models for financial time series: ARMA-GARCH, GARCH-EVT, and DCC-GARCH.
Chaiyawat, Thitivadee +1 more
exaly +2 more sources
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Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach
Journal of Risk and Financial Management, 2022Dietmar Ernst, Pascal Bruhn
exaly
Measuring Quantile Risk Hedging Effectiveness: A GO-GARCH-EVT-Copula Approach
Applied Economics, 2020Madhusudan Karmakar, Udayan Sharma
exaly
Portfolio Optimization via Pair Copula-GARCH-EVT-CVaR Model
Systems Engineering Procedia, 2011Ling Deng
exaly
Estimating Risk of Foreign Exchange Portfolio: Using VaR and CVaR Based on GARCH–EVT-Copula Model
Physica A: Statistical Mechanics and Its Applications, 2010Xiaohong Chen
exaly
AR-GARCH-EVT-Copula for Securitised Real Estate: An Approach to Improving Risk Forecasts?
Journal of Property Research, 2021exaly
Estimating Portfolio Risk Using GARCH-EVT-Copula Model: An Empirical Study on Exchange Rate Market
Lecture Notes in Electrical Engineering, 2010Yanju Zhou
exaly