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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th-cmuir.6653943832-416782017-09-28T04:22:45Z On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets Phochanachan P. Liu J. Sriboonchitta S. © 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. 2017-09-28T04:22:45Z 2017-09-28T04:22:45Z 2016-08-01 Journal 16860209 2-s2.0-84985955348 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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© 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. |
| format |
Journal |
| author |
Phochanachan P. Liu J. Sriboonchitta S. |
| spellingShingle |
Phochanachan P. Liu J. Sriboonchitta S. On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets |
| author_facet |
Phochanachan P. Liu J. Sriboonchitta S. |
| author_sort |
Phochanachan P. |
| title |
On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets |
| title_short |
On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets |
| title_full |
On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets |
| title_fullStr |
On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets |
| title_full_unstemmed |
On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets |
| title_sort |
on mathematical modeling and analysis of co-movement and optimal portfolios of stock markets |
| publishDate |
2017 |
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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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1681422046435737600 |