Nonparametric correlation models for portfolio allocation
Year of publication: |
2013
|
---|---|
Authors: | Aslanidis, Nektarios ; Casas, Isabel |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 7, p. 2268-2283
|
Subject: | Semiparametric conditional | Correlation model | Nonparametric correlations | DCC | Local linear estimator | Portfolio evaluation | Carry trade | Nichtparametrisches Verfahren | Nonparametric statistics | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Kapitaleinkommen | Capital income |
-
Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios, (2013)
-
Gatfaoui, Hayette, (2013)
-
Three essays on modeling conditional correlation
Sheppard, Kevin, (2004)
- More ...
-
Modelling asset correlations during the recent financial crisis : a semiparametric approach
Aslanidis, Nektarios, (2010)
-
Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
Aslanidis, Nektarios, (2010)
-
Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios, (2013)
- More ...