SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach
16 references·16 citing·22 second hopsampled
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach (2012)Portfolio optimization in the presence of…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Copula Methods in Finance (2004)Copula Methods in FinanceNo Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Introduction to Copulas (1999)An Introduction to CopulasFractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…A test for independence based on the correlation dimension (1996)A test for independence based…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Safety First and the Holding of Assets (1952)Safety First and the Holding …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Copula-based Black–Litterman portfolio optimization (2021)Copula-based Black–Litterman …Risk spillover effects from global crude oil market to China’s commodity sectors (2020)Risk spillover effects from g…Pricing and two-dimensional warranty policy of multi-products with online and offline channels using a value-at-risk approach (2020)Pricing and two-dimensional w…Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (2019)Value-at-risk and expected sh…Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas (2019)Spillover Risks on Cryptocurr…Diversification benefits of using exchange‐traded funds in compliance to the sustainable development goals (2018)Diversification benefits of u…Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries (2018)Determinants of dependence st…Are Islamic bonds a good safe haven for stocks? Implications for portfolio management in a time-varying regime-switching copula framework (2018)Are Islamic bonds a good safe…Are alternative energies a real alternative for investors? (2018)Are alternative energies a re…Conditional dependence between international stock markets: A long memory GARCH-copula model approach (2017)Conditional dependence betwee…Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests (2017)Co-movement of ASEAN stock ma…Co-movement measure of information transmission on international equity markets (2016)Co-movement measure of inform…Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model (2015)Long memory and regime switch…Is volatility clustering of asset returns asymmetric? (2014)Is volatility clustering of a…A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices (2014)A wavelet-based nonlinear ARD…Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns (2013)Modelling dynamic dependence …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Theory and Applications of Robust Optimization (2010)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,992 cited

Cited by

  • 2013Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns198 cited
  • 2019Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas106 cited
  • 2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests103 cited
  • 2020Risk spillover effects from global crude oil market to China’s commodity sectors97 cited
  • 2014A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices85 cited
  • 2018Diversification benefits of using exchange‐traded funds in compliance to the sustainable development goals77 cited
  • 2018Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries74 cited
  • 2019Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach69 cited
  • 2015Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model66 cited
  • 2014Is volatility clustering of asset returns asymmetric?63 cited
  • 2016Co-movement measure of information transmission on international equity markets60 cited
  • 2018Are alternative energies a real alternative for investors?56 cited
  • 2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach50 cited
  • 2018Are Islamic bonds a good safe haven for stocks? Implications for portfolio management in a time-varying regime-switching copula framework43 cited
  • 2021Copula-based Black–Litterman portfolio optimization43 cited
  • 2020Pricing and two-dimensional warranty policy of multi-products with online and offline channels using a value-at-risk approach42 cited