A dynamic conditional approach to forecasting portfolio weights
Year of publication: |
2021
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---|---|
Authors: | Cipollini, Fabrizio ; Gallo, Giampiero M. ; Palandri, Alessandro |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 3, p. 1111-1126
|
Subject: | Dynamic conditional modeling | Portfolio allocation | Portfolio weights modeling | Realized correlations | Realized volatility | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Korrelation | Correlation |
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