Portfolio Optimization Of Dynamic Copula Models For Dependent Financial Data Using Change Point Approach

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dc.contributor.authorKara, Emel Kızılok
dc.contributor.authorKemaloğlu, Sibel Açık
dc.date.accessioned2020-06-25T14:46:32Z
dc.date.available2020-06-25T14:46:32Z
dc.date.issued2016
dc.departmentKırıkkale Üniversitesi
dc.description.abstractIn this paper, the portfolio optimization based on CV aR is performed using the dynamic copula model for ...nancial data. Determining thebest model of dependency between ...nancial data has an important role intaking appropriate investment decisions. Due to the ...nancial data is alwaysağected by the *uctuations of the economic factors, the dynamic model washandled. On the other hand change point detection is also important for investment decisions. So this study presents an application of dynamic copulamodel with change point approach. We take the currency data (USD andEUR) from Turkish Central Bank to construct a portfolio. This study consists of two stages. In the ...rst stage, the marginal distributions and copulamodels of currency data are de...ned for full sample, and the portfolio optimization based on CV aR is performed. In the second stage, the change periodsof copula models are determined using binary segmentation method, and theportfolio optimization based on CV aR is performed for each period.en_US
dc.identifier.citationKara, E. K., Kemaloğlu, S. A. (2016). Portfolıo Optımızatıon Of Dynamıc Copula Models For Dependent Fınancıal Data Usıng Change Poınt Approach. Communications Series A1: Mathematics and Statistics, 65(2), 175 - 188.en_US
dc.identifier.endpage188en_US
dc.identifier.issn1303-5991
dc.identifier.issn2618-6470
dc.identifier.issue2en_US
dc.identifier.startpage175en_US
dc.identifier.trdizinid209739
dc.identifier.urihttps://app.trdizin.gov.tr/publication/paper/detail/TWpBNU56TTVPUT09
dc.identifier.urihttps://hdl.handle.net/20.500.12587/1412
dc.identifier.volume65en_US
dc.identifier.wosWOS:000407341300015
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofCommunications Series A1: Mathematics and Statistics
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMatematiken_US
dc.subjectİstatistik ve Olasılıken_US
dc.titlePortfolio Optimization Of Dynamic Copula Models For Dependent Financial Data Using Change Point Approachen_US
dc.typeArticle

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