Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference43 articles.
1. Aas K, Czado C, Frigessi A, Bakken H (2009) Pair-copula constructions of multiple dependence. Insur Math Econ 44:182–198
2. Al Janabi MAM, Ferrer R, Shahzad SJH (2019) Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach. Phys A Stat Mech Appl 536(122579):1–17
3. Al Janabi MAM, Hernandez JA, Berger T, Nguyen DK (2017) Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. Eur J Oper Res 259(3):1121–1131
4. Arreola-Hernandez J, Al Janabi MAM (2020) Forecasting of dependence, market and investment risks of a global index portfolio. J Forecast 39(3):512–532
5. Arreola-Hernandez J, Hammoudeh S, Khuong ND, Al Janabi MAM, Reboredo JC (2017) Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach. Appl Econ 49(25):2409–2427
Cited by
11 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献