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1 result for “GARCH-DCC-Copula”

Dynamic allocation: extremes, tail dependence, and regime Shiftsecon.EM

Model predicts global financial market risks and asset allocation.

problem Predicting downside risk and market regime shifts.

method Dynamic regime switching model based on GARCH-DCC-Copula.

result Significantly improves risk and alpha-based asset allocation strategies.

financial risk asset allocation regime shifts GARCH-DCC-Copula downside risk

2025-06-14abs ↗pdf ↗