Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes

Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes

This study employs several methods to simulate and construct the portfolio from stock indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the period from January 2001 to December 2017, namely, time-varying Copulas; Glosten, Jagannathan and Runkle (GJR); generalised autor...

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Bibliographic Details
Main Authors: Sang Phu Nguyen, Toan Luu Duc Huynh
Format: Article
Language:English
Published: AIMS Press 2019-09-01
Series:Quantitative Finance and Economics
Subjects:
GARCH models
GJR
EVT
Copulas models
CVaR
portfolio optimization
Online Access:https://www.aimspress.com/article/10.3934/QFE.2019.3.562/fulltext.html

Internet

https://www.aimspress.com/article/10.3934/QFE.2019.3.562/fulltext.html

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