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: | , , |
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| Format: | Book Series |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037855546&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58570 |
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| Institution: | Chiang Mai University |
| Summary: | © 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. |
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