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A copula–GARCH model for macro asset allocation of a portfolio with commodities · Study

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ArticleA copula–GARCH model for macro asset allocation of a portfolio with commodities

Luca Riccetti2012

Article2012

A copula–GARCH model for macro asset allocation of a portfolio with commodities

26 citations·0/0 files stored·Empirical Economics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2000Conditional Skewness in Asset Pricing Tests 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2007Pair-copula constructions of multiple dependence 2006Quantitative Risk Management: Concepts, Techniques, and Tools 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*2002International Asset Allocation With Regime Shifts

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2015U.S. stock markets and the role of real interest rates 2018Evaluation of multivariate GARCH models in an optimal asset allocation framework 2012Patent Oppositions as Competitive Tools: An Analysis of the Major Players in the European Market of White Goods

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Year2012

Typearticle

Published2012-04-03

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s00181-012-0577-1

openalex_workW273715140

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