On the public citation graph

Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises

https://doi.org/10.1002/for.3009
0 signed · 61 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/cjs.10141openalex-snapshot
Truncated regular vines in high dimensions with application to financial data
inferredcites →https://doi.org/10.1002/for.2641openalex-snapshot
Forecasting of dependence, market, and investment risks of a global index portfolio
inferredcites →https://doi.org/10.1002/nav.3800090303openalex-snapshot
Programming with linear fractional functionals
inferredcites →https://doi.org/10.1007/978-3-030-13785-4openalex-snapshot
Analyzing Dependent Data with Vine Copulas: A Practical Guide With R
inferredcites →https://doi.org/10.1016/j.csda.2012.08.010openalex-snapshot
Selecting and estimating regular vine copulae and application to financial returns
inferredcites →https://doi.org/10.1016/j.eneco.2014.08.015openalex-snapshot
Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization
inferredcites →https://doi.org/10.1016/j.eswa.2015.04.023openalex-snapshot
Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions
inferredcites →https://doi.org/10.1016/j.ijforecast.2018.02.004openalex-snapshot
Portfolio optimization based on GARCH-EVT-Copula forecasting models
inferredcites →https://doi.org/10.1016/j.insmatheco.2007.02.001openalex-snapshot
Pair-copula constructions of multiple dependence
inferredcites →https://doi.org/10.1016/j.intfin.2018.02.013openalex-snapshot
A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
inferredcites →https://doi.org/10.1016/j.irfa.2013.07.011openalex-snapshot
Risk prediction management and weak form market efficiency in Eurozone financial crisis
inferredcites →https://doi.org/10.1016/j.jbankfin.2013.02.036openalex-snapshot
Canonical vine copulas in the context of modern portfolio management: Are they worth it?
inferredcites →https://doi.org/10.1016/j.jbankfin.2013.05.013openalex-snapshot
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
inferredcites →https://doi.org/10.1016/j.jbankfin.2015.01.008openalex-snapshot
Mixture pair-copula-constructions
inferredcites →https://doi.org/10.1016/j.jbankfin.2015.01.012openalex-snapshot
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
inferredcites →https://doi.org/10.1016/j.jempfin.2006.07.002openalex-snapshot
Measuring financial contagion: A Copula approach
inferredcites →https://doi.org/10.1016/j.jempfin.2013.11.006openalex-snapshot
Using local Gaussian correlation in a nonlinear re-examination of financial contagion
inferredcites →https://doi.org/10.1016/j.jempfin.2016.11.007openalex-snapshot
Relation between higher order comoments and dependence structure of equity portfolio
inferredcites →https://doi.org/10.1016/j.jmva.2009.12.001openalex-snapshot
On the simplified pair-copula construction — Simply useful or too simplistic?
inferredcites →https://doi.org/10.1016/j.jmva.2012.02.001openalex-snapshot
Beyond simplified pair-copula constructions
inferredcites →https://doi.org/10.1016/j.jmva.2015.02.012openalex-snapshot
Truncation of vine copulas using fit indices
inferredcites →https://doi.org/10.1016/j.jmva.2019.03.004openalex-snapshot
Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
inferredcites →https://doi.org/10.1016/j.najef.2015.08.001openalex-snapshot
Downside/upside price spillovers between precious metals: A vine copula approach
inferredcites →https://doi.org/10.1016/j.physa.2014.08.043openalex-snapshot
Forecasting VaR and ES of stock index portfolio: A Vine copula method
inferredcites →https://doi.org/10.1016/j.physa.2019.122579openalex-snapshot
Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach
inferredcites →https://doi.org/10.1016/j.resourpol.2015.07.003openalex-snapshot
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios
inferredcites →https://doi.org/10.1016/j.sepro.2011.10.020openalex-snapshot
Portfolio Optimization via Pair Copula-GARCH-EVT-CVaR Model
inferredcites →https://doi.org/10.1016/s0927-5398(00)00012-8openalex-snapshot
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
inferredcites →https://doi.org/10.1023/a:1016725902970openalex-snapshot
Probability Density Decomposition for Conditionally Dependent Random Variables Modeled by Vines
inferredcites →https://doi.org/10.1057/s41260-021-00210-8openalex-snapshot
Dynamic copula-based expectile portfolios
inferredcites →https://doi.org/10.1080/01621459.1998.10474117openalex-snapshot
On Bayesian Modeling of Fat Tails and Skewness
inferredcites →https://doi.org/10.1080/13504860701255292openalex-snapshot
Optimal Financial Portfolios
inferredcites →https://doi.org/10.1086/294846openalex-snapshot
Mutual Fund Performance
inferredcites →https://doi.org/10.1111/anzs.12182openalex-snapshot
Examination and visualisation of the simplifying assumption for vine copulas in three dimensions
inferredcites →https://doi.org/10.1111/j.1540-6261.1952.tb01525.xopenalex-snapshot
PORTFOLIO SELECTION*
inferredcites →https://doi.org/10.1142/7699#t=tocopenalex-snapshot
Dependence Modeling: Vine Copula Handbook
inferredcites →https://doi.org/10.1142/9789812703378_0022openalex-snapshot
DISTRIBUTION-FREE CONTINUOUS BAYESIAN BELIEF NETS
inferredcites →https://doi.org/10.1162/003465398557825openalex-snapshot
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
inferredcites →https://doi.org/10.1198/073500104000000370openalex-snapshot
CAViaR
inferredcites →https://doi.org/10.1201/b13150openalex-snapshot
Multivariate Models and Multivariate Dependence Concepts
inferredcites →https://doi.org/10.1201/b17116openalex-snapshot
Dependence Modeling with Copulas
inferredcites →https://doi.org/10.1214/aos/1031689016openalex-snapshot
Vines--a new graphical model for dependent random variables
inferredcites →https://doi.org/10.1214/lnms/1215452614openalex-snapshot
Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters
inferredcites →https://doi.org/10.1287/mnsc.1080.0986openalex-snapshot
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
inferredcites →https://doi.org/10.1287/mnsc.13.7.492openalex-snapshot
On Nonlinear Fractional Programming
inferredcites →https://doi.org/10.1287/opre.24.3.452openalex-snapshot
Duality in Fractional Programming: A Unified Approach
inferredcites →https://doi.org/10.18637/jss.v052.i03openalex-snapshot
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-snapshot
Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.2307/2527341openalex-snapshot
Evaluating Interval Forecasts
inferredcites →https://doi.org/10.3150/12-bej413openalex-snapshot
Parameter estimation for pair-copula constructions
inferredcites →https://doi.org/10.3905/jod.1995.407942openalex-snapshot
Techniques for Verifying the Accuracy of Risk Measurement Models
inferredcites →https://doi.org/10.3905/jpm.1994.409501openalex-snapshot
The Sharpe Ratio

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4676596openalex-extracted
Portfolio Optimization: A Systematic and Bibliometric Literature Review
inferred← citeshttps://doi.org/10.1007/s10614-023-10544-7openalex-snapshot
Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index
inferred← citeshttps://doi.org/10.1016/j.energy.2025.138268openalex-snapshot
Multiscale dependence and risk contagion between European carbon market, energy, and financial markets
inferred← citeshttps://doi.org/10.1016/j.envsoft.2025.106474openalex-snapshot
NSVineCopula: R package for modeling non-stationary multivariate dependence
inferred← citeshttps://doi.org/10.1016/j.finr.2026.100147openalex-snapshot
Dependence analysis and financial risk estimations: A hybrid approach
inferred← citeshttps://doi.org/10.1186/s40854-025-00847-zopenalex-snapshot
Cross-moment interaction in multivariate semi-nonparametric densities for risk forecasting
inferred← citeshttps://doi.org/10.3390/math12030398openalex-snapshot
Nonparametric Copula Density Estimation Methodologies
inferred← citeshttps://doi.org/10.4236/jmf.2025.153024openalex-snapshot
Optimization of Financial Asset Portfolio Using GARCH-EVT-Copula-CVaR Model
inferred← citeshttps://doi.org/10.6339/26-jds1229openalex-snapshot
Semiparametric Dynamic Copula Models using Rolling-window Portfolio Optimization
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.