Dynamic conditional angular correlation
Year of publication: |
2020
|
---|---|
Authors: | Jarjour, Riad ; Chan, Kung-sik |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 216.2020, 1, p. 137-150
|
Subject: | Instantaneous correlation matrix | Portfolio construction | Positive definiteness | Robustness | Volatility | Korrelation | Correlation | Volatilität | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
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