create a website

Application of Copula Methods in Financial Risk Management: Case of the Zimbabwe Stock Exchange and the Victoria Falls Stock Exchange.. (2024). Basvi, Brian.
In: International Journal of Research and Scientific Innovation.
RePEc:bjc:journl:v:11:y:2024:i:5:p:674-695.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 24

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aït-Sahalia, , and Brandt, M.W. 2001. Variable selection for portfolio choice. Journal of Finance 56, 1297-1355.

  2. Akaike, H. 1973. Information theory and an extension of the maximum likelihood principle. Second International Symposium on Information Theory, 267-281. Akademiai Kiado, Budapest.
    Paper not yet in RePEc: Add citation now
  3. Alexander, 2008. Market Risk Analysis. John Wiley & Sons, London.
    Paper not yet in RePEc: Add citation now
  4. Alexander, C. 2004. Correlation in platinum and platinum markets. In: Kaminski, (Eds), Managing Energy Price Risk: The New Challenges and Solution, 3rd ed. Risk Books, London.
    Paper not yet in RePEc: Add citation now
  5. Andersen, T.G., and Bollerslev, T. 1998. Answering the skeptics: yes, standard volatility models do INTERNATIONAL JOURNAL OF RESEARCH AND SCIENTIFIC INNOVATION (IJRSI) ISSN No. 2321-2705 | DOI: 10.51244/IJRSI |Volume XI Issue V May 2024 Page 695 www.rsisinternational.org provide accurate forecasts. International Economic Review 4, 115-158.

  6. Barndorff-Nielsen, E., and Shephard, N. 2001. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics, (with discussion). Journal of the Royal Statistical Society, Series B 63, 167-241.

  7. Barndorff-Nielsen, O.E., and Shephard, N. 2002a. Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of Royal Statistical Society, Series B 64, 253280.

  8. Barndorff-Nielsen, O.E., and Shephard, N. 2002b. Estimating quadratic variation using realized variance. Journal of Applied Econometrics 17, 457-477.

  9. Barndorff-Nielsen, O.E., and Shephard, N. 2004. Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics 2, 1-37.
    Paper not yet in RePEc: Add citation now
  10. Barndorff-Nielsen, O.E., and Shephard, N. 2006. Econometrics of testing for jumps in financial economics using Bipower variation. Journal of Financial Econometrics 4, 1-30.

  11. Bartram, S.M., Taylor, S.J., and Wang, Y-H. 2007. The Euro and European financial market Journal of Banking and Finance 31, 1461-1481.
    Paper not yet in RePEc: Add citation now
  12. Basel Committee on Banking Supervision. 1996. Amendment to the Capital Accord to Incorporate Market Risks. BIS – Banking of International
    Paper not yet in RePEc: Add citation now
  13. Bastianin, A. 2009. Modelling asymmetric dependence using copula functions: an application to value-at-risk in the energy sector. FEEM Working Paper.

  14. Bauwens, L., Laurent, S., and Rombouts, J.V.K. 2006. Multivariate GARCH models: a survey. Journal of Applied Econometrics 21, 79-109.

  15. Berg, D., and Bakken, H., 2006. Copula goodness-of-fit tests: a comparative study. Working Paper.
    Paper not yet in RePEc: Add citation now
  16. Blanco, C., and Ihle, G. 1999. How good is your VaR? using backtesting to assess system performance. Financial Engineering News, 1-2.
    Paper not yet in RePEc: Add citation now
  17. Bollerslev, , Chou, R.Y., and Kroner, K.F. 1992. ARCH modeling in finance: a selective review of the theory and empirical evidence. Journal of Econometrics 52, 5-59.

  18. Boudt, K., Croux, C., and Laurent, S. 2008. Outlyingness weighted quadratic covariation. Working Paper.
    Paper not yet in RePEc: Add citation now
  19. Bouyé, E., Durrleman, V., Nikeghbali, A., Riboulet, G., and Roncalli, T. 2001. Copulas: an open field for risk management. Working Paper. Groupe de Recherche, Opérationnelle, Crédit Lyonnais.
    Paper not yet in RePEc: Add citation now
  20. Breymann, W., Dias, A., and Embrechts, P. 2003. Dependence structure for multivariate highfrequency data in finance. Quantitative Finance 3, 1-16.
    Paper not yet in RePEc: Add citation now
  21. Campbell, D. 2006. A review of backtesting and backtesting procedures. Journal of Risk 9, 1-18.
    Paper not yet in RePEc: Add citation now
  22. Chen, , and Fan, Y. 2006. Estimation and model selection of semiparametric
    Paper not yet in RePEc: Add citation now
  23. Embrechts, P. 2000. Extreme value theory: potential and limitations as an integrated risk management tool. Derivatives Use, Trading and Regulation 6, 449-456.
    Paper not yet in RePEc: Add citation now
  24. Mathematical Finance 9, 2038. Baillie, T.R., Bollerslev, T., and Mikkelsen, H.O. 1996. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74, 3-30.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Dynamic copula models and high frequency data. (2015). Patton, Andrew ; De Lira Salvatierra, Irving, .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:30:y:2015:i:c:p:120-135.

    Full description at Econpapers || Download paper

  2. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective. (2011). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:igi:igierp:414.

    Full description at Econpapers || Download paper

  3. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-45.

    Full description at Econpapers || Download paper

  4. Mutual Fund Performance: Measurement and Evidence. (2010). O'Sullivan, Niall ; Cuthbertson, Keith ; Nitzsche, Dirk.
    In: Financial Markets, Institutions & Instruments.
    RePEc:wly:finmar:v:19:y:2010:i:2:p:95-187.

    Full description at Econpapers || Download paper

  5. Portfolio choice under local industry and country factors. (2010). Castro Iragorri, Carlos.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:24:y:2010:i:4:p:353-393.

    Full description at Econpapers || Download paper

  6. 1/N and long run optimal portfolios: results for mixed asset menus. (2010). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
    In: Working Papers.
    RePEc:fip:fedlwp:2010-003.

    Full description at Econpapers || Download paper

  7. Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective. (2010). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2010-002.

    Full description at Econpapers || Download paper

  8. Investment horizon and the attractiveness of investment strategies: A behavioral approach. (2010). Zeisberger, Stefan ; Dierkes, Maik ; Erner, Carsten.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:5:p:1032-1046.

    Full description at Econpapers || Download paper

  9. Equilibrium open interest. (2010). Judd, Kenneth ; Leisen, Dietmar P. J., .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:12:p:2578-2600.

    Full description at Econpapers || Download paper

  10. Dynamic Mean-Variance Asset Allocation. (2009). Basak, Suleyman ; Chabakauri, Georgy.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7256.

    Full description at Econpapers || Download paper

  11. Portfolio selection with transaction costs under expected shortfall constraints. (2008). Breuer, Thomas ; Jandaka, Martin.
    In: Computational Management Science.
    RePEc:spr:comgts:v:5:y:2008:i:4:p:305-316.

    Full description at Econpapers || Download paper

  12. Consumption and Portfolio Choice with Option-Implied State Prices. (2008). Ait-Sahalia, Yacine ; At-Sahalia, Yacine ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13854.

    Full description at Econpapers || Download paper

  13. Realized portfolio selection in the euro area. (2008). MORANA, CLAUDIO.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:10-2008.

    Full description at Econpapers || Download paper

  14. Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.. (2008). Savona, Roberto ; amisano, gianni.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008881.

    Full description at Econpapers || Download paper

  15. Return Predictability under Equilibrium Constraints on the Equity Premium. (2008). Timmermann, Allan ; Pettenuzzo, Davide ; Valkanov, Rossen I..
    In: Working Papers.
    RePEc:brd:wpaper:37.

    Full description at Econpapers || Download paper

  16. Optimal Asset Allocation in Asset Liability Management. (2007). van Binsbergen, Jules ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12970.

    Full description at Econpapers || Download paper

  17. Asset allocation under multivariate regime switching. (2007). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:11:p:3503-3544.

    Full description at Econpapers || Download paper

  18. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12144.

    Full description at Econpapers || Download paper

  19. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

    Full description at Econpapers || Download paper

  20. Investing in mutual funds when returns are predictable. (2005). wermers, russell ; Avramov, Doron.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0513.

    Full description at Econpapers || Download paper

  21. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:329.

    Full description at Econpapers || Download paper

  22. The Myth of Long-Horizon Predictability. (2005). Whitelaw, Robert ; Richardson, Matthew ; Boudoukh, Jacob.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11841.

    Full description at Econpapers || Download paper

  23. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11119.

    Full description at Econpapers || Download paper

  24. The economic value of technical trading rules: a nonparametric utility-based approach. (2005). Lyrio, Marco ; Dewachter, Hans.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:10:y:2005:i:1:p:41-62.

    Full description at Econpapers || Download paper

  25. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

    Full description at Econpapers || Download paper

  26. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4914.

    Full description at Econpapers || Download paper

  27. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4913.

    Full description at Econpapers || Download paper

  28. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2005). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt4ft420b6.

    Full description at Econpapers || Download paper

  29. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10996.

    Full description at Econpapers || Download paper

  30. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability. (2004). Santa-Clara, Pedro ; Goyal, Amit ; Brandt, Michael W. ; Storud, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10934.

    Full description at Econpapers || Download paper

  31. Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10372.

    Full description at Econpapers || Download paper

  32. One for the Gain, Three for the Loss. (2004). Anderson, Anders E. S., .
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0020.

    Full description at Econpapers || Download paper

  33. Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt632436gt.

    Full description at Econpapers || Download paper

  34. Optimal Portfolio Allocation Under Higher Moments. (2004). Rockinger, Michael ; Jondeau, Eric.
    In: Working papers.
    RePEc:bfr:banfra:108.

    Full description at Econpapers || Download paper

  35. Evaluating Portfolio Policies: A Duality Approach. (2003). Kogan, Leonid ; Haugh, Martin B. ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9861.

    Full description at Econpapers || Download paper

  36. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors. (2003). Wachter, Jessica ; Sangvinatsos, Antonios.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10086.

    Full description at Econpapers || Download paper

  37. Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio. (2003). Robotti, Cesare.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2003-6.

    Full description at Econpapers || Download paper

  38. Model Uncertainty, Thick Modelling and the Predictability of Stock Returns. (2003). Favero, Carlo ; Aiolfi, Marco.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3997.

    Full description at Econpapers || Download paper

  39. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-27.

    Full description at Econpapers || Download paper

  40. Climate policy induced investments in developing countries: the implications of investment risks. (2002). Löschel, Andreas ; Böhringer, Christoph ; Bohringer, Christoph ; Loschel, Andreas.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:1674.

    Full description at Econpapers || Download paper

  41. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Kang, Qiang ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9056.

    Full description at Econpapers || Download paper

  42. Foreign Currency for Long-Term Investors. (2002). Viceira, Luis ; Campbell, John ; White, Josh S..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3463.

    Full description at Econpapers || Download paper

  43. Macroeconomic Influences on Optimal Asset Allocation. (2002). Wickens, Michael ; Flavin, Thomas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3144.

    Full description at Econpapers || Download paper

  44. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-58.

    Full description at Econpapers || Download paper

  45. Asset Allocation in Transition Economies.. (2002). Rockinger, Michael ; Jondeau, Eric.
    In: Working papers.
    RePEc:bfr:banfra:90.

    Full description at Econpapers || Download paper

  46. Decisionmetrics: A Decision-Based Approach to Econometric Modeling. (2001). Skouras, Spyros.
    In: Working Papers.
    RePEc:wop:safiwp:01-11-064.

    Full description at Econpapers || Download paper

  47. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8566.

    Full description at Econpapers || Download paper

  48. A Risk Management Approach to Optimal Asset Allocation. (2001). Wickens, Michael ; Flavin, Thomas.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n1080301.

    Full description at Econpapers || Download paper

  49. Optimal demand for long-term bonds when returns are predictable. (2001). Gil-Bazo, Javier.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb012308.

    Full description at Econpapers || Download paper

  50. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3070.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-06 02:41:24 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.