Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Year of publication: |
2014
|
---|---|
Authors: | Naccarato, Alessia ; Pierini, Andrea |
Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 11.2014, 3, p. 34-43
|
Subject: | Markowitz portfolio | cointegrated vector autoregressive models | multivariate volatility models | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Italien | Italy | VAR-Modell | VAR model | Schätzung | Estimation | Schätztheorie | Estimation theory | Simulation | ARCH-Modell | ARCH model | Kointegration | Cointegration | Multivariate Analyse | Multivariate analysis |
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