Flexible dynamic conditional correlation multivariate GARCH models for asset allocation
Year of publication: |
2006
|
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Authors: | Billio, Monica ; Caporin, Massimiliano ; Gobbo, Michele |
Published in: |
Applied financial economics letters. - Abingdon : Routledge, ISSN 1744-6546, ZDB-ID 2175172-9. - Vol. 2.2006, 2, p. 123-130
|
Subject: | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income |
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