GARCH volatilities applied to an asset selection algorithm : the case of fixed income markets
Year of publication: |
2018
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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
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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 | Anleihe | Bond | Schätzung | Estimation | Finanzmarkt | Financial market | Kapitalmarkttheorie | Financial economics |
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