Forecasting of dependence, market, and investment risks of a global index portfolio-Reference-Cited by-同舟云学术

Forecasting of dependence, market, and investment risks of a global index portfolio

Published:2020-01-07 Issue:3 Volume:39 Page:512-532
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Arreola Hernandez Jose¹^ORCID,Al Janabi Mazin A.M.²

Affiliation:

1. Department of Accounting and FinanceRennes School of Business Rennes France

2. EGADE Business SchoolTecnologico de Monterrey, Santa Fe Campus Mexico City Mexico

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2641

Reference48 articles.

1. Pair-copula constructions of multiple dependence

2. A comprehensive review of Value at Risk methodologies

3. Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives

4. Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects

5. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

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