Browsing Economics by Subject "Extreme value theory"
Now showing items 1-1 of 1
-
Portfolio optimization based on garch-evt-vinecopula via information ratio, sharpe ratio and sortino index
(2023) [Dissertation]This study employs an ARMA-GARCH-EVT modeling approach to capture marginal features and Vine copula models to understand tail dependence in a portfolio of 60 stocks listed on the Brazilian stock market, specifically the ...