Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Heni Boubaker; Nadia Sghaier
| Year of publication: |
2013
|
|---|---|
| Authors: | Boubaker, Heni ; Sghaier, Nadia |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 2, p. 361-377
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| Subject: | Long memory | Portfolio optimization | Copulas | Goodness of fit tests | Wavelets | Stability tests | Conditional value at risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009705653