Fernandez, Viviana; Lucey, Brian M. - In: Physica A: Statistical Mechanics and its Applications 375 (2007) 2, pp. 612-624
We analyze the implications for portfolio management of accounting for conditional heteroskedasticity and sudden changes in volatility, based on a sample of weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992–2005. To...