Time-varying correlations and Sharpe ratios during quantitative easing
Paul M. Jones, Haley O'Steen
| Year of publication: |
Feb 2018
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|---|---|
| Authors: | Jones, Paul ; O'Steen, Haley |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 1, p. 1-11
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| Subject: | asset allocation | multivariate GARCH | Sharpe ratios | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Korrelation | Correlation | ARCH-Modell | ARCH model | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0083 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011886649