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:	Panisara Phochanachan, Jianxu Liu, Songsak Sriboonchitta
Format:	Journal
Published:	2018
Subjects:	Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84985955348&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55945
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-55945
record_format	dspace
spelling	th-cmuir.6653943832-559452018-09-05T03:06:15Z On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets Panisara Phochanachan Jianxu Liu Songsak Sriboonchitta Mathematics © 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. 2018-09-05T03:06:15Z 2018-09-05T03:06:15Z 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/6653943832/55945
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Mathematics
spellingShingle	Mathematics Panisara Phochanachan Jianxu Liu Songsak Sriboonchitta On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets
description	© 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	Panisara Phochanachan Jianxu Liu Songsak Sriboonchitta
author_facet	Panisara Phochanachan Jianxu Liu Songsak Sriboonchitta
author_sort	Panisara Phochanachan
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	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84985955348&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55945
_version_	1681424600042307584

On mathematical modeling and analysis of co-movement and optimal portfolios of stock markets

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