Portfolio optimization based on artificial neural network and GARCH-EVT-copula models
DOI10.1142/S0218488523400184zbMATH Open1547.62114MaRDI QIDQ6535937FDOQ6535937
Authors: Bao Quoc Ta, Nguyen H. Q. Khai 
Publication date: 13 March 2024
Published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)
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Cites Work
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- An introduction to copulas.
- Statistical inference using extreme order statistics
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Quantitative risk management. Concepts, techniques and tools
- Elements of Copula Modeling with R
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- Statistics of financial markets. An introduction
- The use of GARCH models in VaR estimation
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- The elements of financial econometrics
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