A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Year of publication: |
2021
|
---|---|
Authors: | Paolella, Marc S. ; Polak, Pawel ; Walker, Patrick S. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 125.2021, p. 1-20
|
Subject: | COVID-19 | Dynamic conditional correlations | Multivariate GARCH | Generalized hyperbolic distribution | Principal component analysis | Portfolio optimization | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Theorie | Theory | Transaktionskosten | Transaction costs | Korrelation | Correlation | Statistische Verteilung | Statistical distribution | Coronavirus | Hauptkomponentenanalyse | Multivariate Analyse | Multivariate analysis |
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