On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets
© 2016 by the Mathematical Association of Thailand. All rights reserved. This paper proposes to use the concept of time-varying copulas in probability theory as an appropriate mathematical modeling tool for investigating an important problem in economics, namely the co-movement of stock markets as w...
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| Main Authors: | , , |
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| Format: | Journal |
| Published: |
2017
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84985955348&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/41678 |
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| Institution: | Chiang Mai University |
| Summary: | © 2016 by the Mathematical Association of Thailand. All rights reserved. This paper proposes to use the concept of time-varying copulas in probability theory as an appropriate mathematical modeling tool for investigating an important problem in economics, namely the co-movement of stock markets as well as optimal portfolio constructions on them. In the sense of expected shortfall, a coherent risk measure widely used in risk management of financial markets, we show that our time-varying copula models for GARCH perform better than the conventional DCC-GARCH model. We exhibit also various advantages of this approach in investment decisions. An application to G7 stock markets is given. |
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