WebIn portfolio management, the concept of financial risk, which expresses uncertainty regarding the future value of a financial asset, is very important. Typically, financial markets are characterized by continuous upward and downward fluctuations in prices, able to generate market crises. As a consequence, it is in the investors’ interest to ... WebIn this paper, considering the possibility of variable correlation state transition under the condition of unfixed component copula function weight, a mixed Clayton copula function …

By: Christian Engelen - EUR

Webof 36 market indices. In order to examine the dependencies between these data, the Markov regime switching copula model with two regimes is considered. For the … marlins 2022 uniforms

Prof. Mazin Al Janabi, PhD - Research Fellow and Full Research ...

WebUsing the NASDAQ AI price index as a measure of AI and the European Energy Exchange EU emissions trading system (i.e. certificate prices for CO2 emissions) as a measure of carbon prices, we employ time-varying Markov switching copula models from December 2024 to July 2024 that provide evidence of a time-varying Markov tail dependence … WebKeywords: Divisia Monetary Aggregates, Markov Regime Switching, Dependence, Copula 2024MSCCode: 62H20 1. Introduction Over the years, there has been a large number of … WebThesis: “Dynamic asset allocation under regime switching: an in-sample and out-of-sample study under the Copula-Opinion Pooling framework”. Supervisor: Stefano Herzel My work consists of a comparative study of the performances of a multivariate Markov-Switching Vector Autoregressive model against a single regime model in terms of portfolio returns … marlins 5 promo