Mihaela; Scedil; erban; Brockwell, Anthony; Lehoczky, John - In: Journal of Time Series Analysis 28 (2007) 5, pp. 763-782
The dependence structure in multivariate financial time series is of great importance in portfolio management. By studying daily return histories of 17 exchange-traded index funds, we identify important features of the data, and we propose two new models to capture these features. The first is...