Technical paper/Stock market
The utility of Basel III rules on excessive violations of internal risk models
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Value-ranked equity portfolios via entropy pooling
This paper demonstrates how to directly incorporate common value-investing idea into the portfolio optimization process.
Optimal hedge ratios based on Markov-switching dynamic copula models
In this paper, the authors combine MS dynamic copulas with the skewed t SV model to study the optimal hedge ratios of portfolios.