A DCC-VARMA model of portfolio risk : a simple approach to the estimation of the variance-covariance matrix of large stock portfolios
Valerio Potì
| Year of publication: |
2009
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|---|---|
| Authors: | Potì, Valerio |
| Published in: |
Stock market volatility. - Boca Raton, Fla. [u.a.] : Chapman & Hall/CRC Press, ISBN 978-1-4200-9954-6. - 2009, p. 135-145
|
| Subject: | Korrelation | Correlation | ARCH-Modell | ARCH model | Aktienindex | Stock index | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003830410