The economic value of range-based covariance between stock and bond returns with dynamic copulas
Chih-Chiang Wu; Shin-Shun Liang
| Year of publication: |
2011
|
|---|---|
| Authors: | Wu, Chih-chiang ; Liang, Shin-shun |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 4, p. 711-727
|
| Subject: | Asset allocation strategy | CARR model | Dynamic copula | Economic value | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Theorie | Theory | CAPM | Korrelation | Correlation | Aktienmarkt | Stock market |
| 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/10009306532