Four essays on dynamic dependence in large portfolios

Autor: Jin, Xisong

Externí odkaz: https://escholarship.mcgill.ca/concern/theses/xk81jk76p

Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas

Autor: Jin Xisong, Lehnert Thorsten

Publikováno v: Dependence Modeling, Vol 6, Iss 1, Pp 19-46 (2018)

Previous research has focused on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, existing dynamic models are not easily applied to high-dimensional problems due to the cur

Externí odkaz: https://doaj.org/article/30ec0e81b78043d8a6c50188c695f56b

A framework for tracking changes in the intensity of investment funds' systemic risk

Autor: Jin, Xisong, Nadal De Simone, Francisco

Publikováno v: In Journal of Empirical Finance December 2014 29:343-368

Correlation dynamics and international diversification benefits

Autor: Christoffersen, Peter, Errunza, Vihang, Jacobs, Kris, Jin, Xisong

Publikováno v: In International Journal of Forecasting July-September 2014 30(3):807-824

Correlation Dynamics and International Diversification Benefits

Autor: Christoffersen, Peter, Errunza, Vihang R., Jacobs, Kris, Jin, Xisong

Publikováno v: Christoffersen, P, Errunza, V R, Jacobs, K & Jin, X 2013 ' Correlation Dynamics and International Diversification Benefits ' Institut for Økonomi, Aarhus Universitet, Aarhus .

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs)

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7df93c81585c5947cda5428b732b7e7e
https://pure.au.dk/portal/da/publications/correlation-dynamics-and-international-diversification-benefits(72046175-3884-4952-a46b-c03aeba7750f).html