Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

DOI10.1080/713665877zbMATH Open1405.91573OpenAlexW2165565175MaRDI QIDQ4646507FDOQ4646507

Authors: Clive W. J. Granger, Param Silvapulle 

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665877

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zbMATH Keywords

value-at-riskportfolio diversificationconditional CAPM

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cited In (15)

• Equity portfolio diversification with high frequency data
• A smooth non-parametric estimation framework for safety-first portfolio optimization
• Measures of risk
• VaR-implied tail-correlation matrices
• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
• Local dependence test between random vectors based on the robust conditional Spearman's \(\rho\) and Kendall's \(\tau\)
• Nonlinear Spectral Analysis: A Local Gaussian Approach
• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
• Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach
• Statistical dependence: beyond Pearson's \(\rho\)
• Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
• Nonparametric dependence modeling via cluster analysis: A financial contagion application
• Dependence of Stock Returns in Bull and Bear Markets
• Local Gaussian correlation: a new measure of dependence

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