Evaluation of multivariate GARCH models in an optimal asset allocation framework
Nor Syahilla Abdul Aziz, Spyridon Vrontos, Haslifah M. Hasim
| Year of publication: |
2019
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|---|---|
| Authors: | Nor Syahilla Abdul Aziz ; Vrontos, Spyridon ; Hasim, Haslifah Mohamad |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 47.2019, p. 568-596
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| Subject: | Asset allocation | Asset management | Copula | Dynamic conditional correlation | GARCH | Portfolio optimisation | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.06.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012120131