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specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …
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For over a decade, academic and industry economists argued that the negative correlation between returns on stocks and … portfolio management strategies. Does this negative correlation give rise to the possibility of unexploited profit opportunity … in the financial markets? Using a rational asset-pricing model, we argue that such a negative correlation could arise as …
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In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic...
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