1 research outputs found
Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes
- Author
- Acerbi C Tasche D
- Awartani BM Corradi V
- Baele L Inghelbrecht K
- Barone Adesi G
- Baur DG
- Black F
- Bollerslev T
- Burdekin RC Hughson E, Gu J
- Choe KI Choi P, Nam K, et al.
- Christie AA
- Christoffersen PF
- Chuang CC Wang YH, Yeh TJ, et al.
- Chung PJ Liu DJ
- Click RW Plummer MG
- DeFusco RA Geppert JM, Tsetsekos GP
- Deng L Ma C, Yang W
- Embrechts P Höing A, Juri A
- Engle R
- Fercoq O Richtárik P
- French KR Schwert GW, Stambaugh RF
- Geman H Kharoubi C
- Glosten LR Jagannathan R, Runkle DE
- Gneiting T
- Jin X Lehnert T
- Jondeau E Rockinger M
- Kotz S Shanbhag D
- Laurent S Rombouts JV, Violante F
- Lerche I Mudford BS
- Liu HH Wang TK, Li W
- Luu Duc Huynh T
- McNeil AJ Frey R
- Monfared SA Enke D
- Nasir MA Huynh TLD, Nguyen SP, et al.
- Patton AJ
- Patton AJ
- Rigg J Salamanca A
- Rockafellar RT Uryasev S
- Rodriguez JC
- Sampid MG Hasim HM, Dai H
- Wang ZR Chen XH, Jin YB, et al.
- Zakoian JM
- Zhang H Zhou L, Ming S, et al.
- Zhang N Kang C, Xia Q, et al.
- Ziegel JF
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2019
- Field of study
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