The GARCH-EVT-Copula model and simulation in scenario-based asset allocation
Financial market integration, in particular, portfolio allocations from advanced economies to South African markets, continues to strengthen volatility linkages and quicken volatility transmissions between participating markets. Largely as a result, South African portfolios are net recipients of ret...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Nelson Mandela Metropolitan University
2016
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10948/11732 |