A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization
Year of publication: |
2020
|
---|---|
Authors: | Mba, Jules Clement ; Mwambi, Sutene |
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 | Virtuelle Währung | Virtual currency |
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