A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Marc S. Paolella, Paweł Polak, Patrick S. Walker
| Year of publication: |
2021
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| 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
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| Subject: | COVID-19 | Dynamic conditional correlations | Multivariate GARCH | Generalized hyperbolic distribution | Principal component analysis | Portfolio optimization | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Transaktionskosten | Transaction costs | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Schätztheorie | Estimation theory | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106046 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012819586