Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas
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- Aepli, Matthias D. & Füss, Roland & Henriksen, Tom Erik S. & Paraschiv, Florentina, 2017. "Modeling the multivariate dynamic dependence structure of commodity futures portfolios," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 66-87.
- Jin, Xisong & Nadal De Simone, Francisco de A., 2014.
"Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach,"
Journal of Financial Stability, Elsevier, vol. 14(C), pages 81-101.
- Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
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Keywordsrisk management; assets allocation; VaR; ES; dynamic conditional correlation (DCC); dynamic equicorrelation (DECO); dynamic copula.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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