Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis
Year of publication: |
2006-09
|
---|---|
Authors: | Palomba, Giulio |
Institutions: | Dipartimento di Scienze Economiche e Sociali, Facoltà di Economia "Giorgio Fuà" |
Subject: | Black and Litterman approach | multivariate GARCH models | tactical asset allocation |
Extent: | application/pdf |
---|---|
Series: | Working Papers. - ISSN 2279-9575. |
Type of publication: | Book / Working Paper |
Notes: | Number 267 3 pages long |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice |
Source: |
-
Palomba, Giulio, (2008)
-
Palomba, Giulio, (2008)
-
Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)
Kolokolov, Alexei, (2011)
- More ...
-
Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity
Lucchetti, Riccardo, (2008)
-
Investors’ behaviour in the Chinese Stock Exchanges: Empirical Evidence in a Systemic Approach
Lucarelli, Caterina, (2007)
-
Analytical gradients of dynamic conditional correlation models
Caporin, Massimiliano, (2020)
- More ...