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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0111 · Sep 202019922001200920172026
2 results for “GARCH-Copula”
Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approachq-fin.PM

Study analyzes portfolio performance of crypto and traditional assets.

problem Impact of cryptocurrencies on portfolio performance.
method Used GARCH-Copula and GARCH-Vine Copula methods for risk structure calculation; Markowitz optimization for optimal asset weights.
result Portfolio with both crypto and traditional assets has higher Sharpe ratio and more stable performance.
cryptocurrenciesportfolio optimizationMarkowitzGARCH-Copularisk management
2023-12-31abs ↗pdf ↗
CoVaR with volatility clustering, heavy tails and non-linear dependenceq-fin.RM

The paper estimates CoVaR with various models for financial risk analysis.

problem Estimating conditional value-at-risk with financial time series data.
method Fitting multivariate parametric models and copula functions to capture stylized facts of equity returns.
result Backtesting shows that certain models provide better risk estimates than others.
CoVaRmultivariate modelsfinancial riskGJR-GARCHcopulas
2020-09-22abs ↗pdf ↗