Work

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Year: 2018

Type: article

Source: International Journal of Forecasting

DOI: 10.1016/j.ijforecast.2018.02.004

Authors: Maziar Sahamkhadam, Andreas Stephan, Ralf Östermark

Institutions: Linnaeus University, Jönköping University, Åbo Akademi University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2801076774

FWCI: 8.93

Cites: 42

Cited by: 84

Related to: 10