A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization
Jules Clement Mba, Sutene Mwambi
| Year of publication: |
2020
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|---|---|
| Authors: | Mba, Jules Clement ; Mwambi, Sutene |
| Published in: |
Financial markets and portfolio management. - Norwell, Mass. : Springer, ISSN 2373-8529, ZDB-ID 2097963-0. - Vol. 34.2020, 2, p. 199-214
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| Subject: | Long range dependence | Lévy processes | Differential evolution | R-vine copula | Portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-020-00346-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012289624