Our study uses the GARCH-EVT-copula model to develop out-of-sample forecasts for
diverse asset classes, including a green asset. To construct optimal portfolios, we apply four …

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-
of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct …

This paper studies the effects of the June 2016 United Kingdom European Union
membership referendum and the subsequently triggered article 50 on 43 major developed …

Portfolio optimisation is a core problem in quantitative finance and scenario generation
techniques play a crucial role in simulating the future behaviour of the assets that can be …

This research first adopts three indicators to measure the systemic risk of different financial
industries in China. Second, we employ the Time Varying Parameter-Stochastic Volatility …

This study employs several methods to simulate and construct the portfolio from stock
indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the …

In most previous works on forecasting oil market volatility, squared daily returns were taken
as the proxy of unobserved actual volatility. However, as demonstrated by Andersen and …

The study investigates dependence structure and estimates portfolio risk on data from
foreign exchange market in India. We specify both marginal models for the foreign exchange …

This research aims to analyze and to compare the ability of different mathematical models,
such as artificial neural networks (ANN) and ARCH and GARCH models, to forecast the …

In this article, we propose a wavelet-based approach to accommodate the stylized facts and
complex structure of financial data, caused by frequent and abrupt changes of markets and …