Davari-Ardakani, Hamed; Aminnayeri, Majid; Seifi, Abbas - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 35-51
This paper develops a method to characterize the dynamic behavior of statistically dependent returns of assets via a scenario set. The proposed method uses heteroskedastic time series to model serial correlations of returns, as well as Cholesky decomposition to generate the set of scenarios such...
