GARCH volatilities applied to an asset selection algorithm : the case of fixed income markets
Angelo Corelli
| Year of publication: |
2018
|
|---|---|
| Authors: | Corelli, Angelo |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-229X, ZDB-ID 3004039-5. - Vol. 4.2018, 1, p. 52-62
|
| Subject: | financial economics | value-at-risk | VaR | GARCH volatility | coherence | bankruptcy | networks | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Schätzung | Estimation | Finanzmarkt | Financial market | Anleihe | Bond | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJBD.2018.097423 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012253412