Portfolio optimization based on GARCH-EVT-Copula forecasting models

Maziar Sahamkhadam, Andreas Stephan, Ralf Östermark

Research output: Contribution to journalArticleScientificpeer-review

9 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)497–506
Number of pages10
JournalInternational Journal of Forecasting
Volume34
Issue number3
DOIs
Publication statusPublished - 2018
MoE publication typeA1 Journal article-refereed

Keywords

  • GARCH models
  • Extreme value theory
  • Copula models
  • Conditional value-at-risk
  • Portfolio optimization

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