A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach

© Springer International Publishing AG 2018. There is a strong correlation between the value of the US dollar and the Asian currencies. EGARCH-copula model, with the skewed student-t distribution and the skewed general error distribution, can be used to capture the dependence correlation between US...

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Main Authors:	Ji Ma, Jianxu Liu, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037855546&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43904
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-43904
record_format	dspace
spelling	th-cmuir.6653943832-439042018-01-24T04:14:59Z A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach Ji Ma Jianxu Liu Songsak Sriboonchitta © Springer International Publishing AG 2018. There is a strong correlation between the value of the US dollar and the Asian currencies. EGARCH-copula model, with the skewed student-t distribution and the skewed general error distribution, can be used to capture the dependence correlation between US dollar and an Asian currency from those seven currencies in this paper. Building a bivariate portfolio based on the fitted EGARCH-copula models can be used to make portfolio optimization with the methods of max return, min risk and max sharpe ratio, to obtain a positive and reasonable return. 2018-01-24T04:14:59Z 2018-01-24T04:14:59Z 2018-01-01 Book Series 1860949X 2-s2.0-85037855546 10.1007/978-3-319-70942-0_32 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037855546&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43904
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
description	© Springer International Publishing AG 2018. There is a strong correlation between the value of the US dollar and the Asian currencies. EGARCH-copula model, with the skewed student-t distribution and the skewed general error distribution, can be used to capture the dependence correlation between US dollar and an Asian currency from those seven currencies in this paper. Building a bivariate portfolio based on the fitted EGARCH-copula models can be used to make portfolio optimization with the methods of max return, min risk and max sharpe ratio, to obtain a positive and reasonable return.
format	Book Series
author	Ji Ma Jianxu Liu Songsak Sriboonchitta
spellingShingle	Ji Ma Jianxu Liu Songsak Sriboonchitta A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach
author_facet	Ji Ma Jianxu Liu Songsak Sriboonchitta
author_sort	Ji Ma
title	A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach
title_short	A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach
title_full	A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach
title_fullStr	A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach
title_full_unstemmed	A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach
title_sort	portfolio optimization between us dollar index and some asian currencies with a copula-egarch approach
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037855546&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43904
_version_	1681422460242624512

A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach

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