Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach
Year of publication: |
2013
|
---|---|
Authors: | Boubaker, Heni ; Sghaier, Nadia |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 2, p. 361-377
|
Publisher: |
Elsevier |
Subject: | Long memory | Portfolio optimization | Copulas | Goodness of fit tests | Wavelets | Stability tests | Conditional value at risk |
-
Boubaker, Heni, (2013)
-
Dynamic Global Currency Hedging
Christensen, Bent Jesper, (2018)
-
Risk modelling and management : an overview
Chang, Chia-Lin, (2013)
- More ...
-
Boubaker, Heni, (2013)
-
Boubaker, Heni, (2015)
-
Boubaker, Heni, (2013)
- More ...