Dynamic Copulas for Finance

Dynamic Copulas for Finance
- An Application to Portfolio Risk Calculation
Braun, Valentin
Preis 48,00inkl. ges. MwSt.
ISBN 978-3-8441-0040-2
Bestell-Nr. 0040C
Gewicht 262 g
Warengruppe Volkswirtschaft
Sachgruppe Quantitative Ökonomie
Einband broschiert
Sprache Englisch
Umfang 176
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1. Introduction and Thesis Structure

2. GARCH Theory
2.1 Introduction
2.2 GARCH Models

3. Copula Theory
3.1 Copula Basics
3.2 Multivariate Static Copulas
3.3 Multivariate Regime-Switch Copulas
3.4 Multivariate Dynamic Copulas
3.5 Two-Step Estimation
3.6 Standard Errors for Copulas

4. Data and Parameter Estimation
4.1 Data Descriptives
4.2 GARCH Models
4.3 Static Copulas
4.4 Regime-Switch Copulas
4.5 Dynamic Copulas

5. Interaction of Dependence, Volatility and Returns
5.1 Bond Yields
5.2 Stocks
5.3 Multi Asset Classes

6. Portfolio Risk Forecasting
6.1 Bond Yields Portfolio
6.2 Stocks Portfolio
6.3 Multi Asset Classes Portfolio
6.4 Summary

7. Portfolio Allocation
7.1 Algebra of Higher Moments
7.2 Mean-Variance Efficiency
7.3 Higher Moments Optimization
7.4 Portfolio Allocation with Higher Moments

8. Conclusion

Über den Autor

Valentin Braun was born in Nördlingen, Germany in 1982. He studied economics with a focus on option and portfolio theory at the European Business School, receiving his “Diplom-Kaufmann” in 2007. During his time abroad at the University of Arizona from 2005-2006, he received a Master's in Finance with a focus on fixed income. In 2008, he started his doctoral studies in econometrics at the Goethe-University Frankfurt/Main, which he completed in 2011. During this time, he worked as a teaching and research assistant.

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