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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Volatility-dependent correlations : further evidence of when, where and how

Clements, Adam; Scott, Ayesha; Silvennoinen, Annastiina - In: Empirical economics : a journal of the Institute for … 57 (2019) 2, pp. 505-540

Persistent link: https://www.econbiz.de/10012056697

Long-run wavelet-based correlation for financial time series

Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696

Persistent link: https://www.econbiz.de/10011890368

Bayesian analysis of multivariate stochastic volatility with skew return distribution

Nakajima, Jouchi - In: Econometric reviews 36 (2017) 5, pp. 546-562

Persistent link: https://www.econbiz.de/10011795262

Modeling the optimal portfolio : the case of the largest European stock exchanges

Aliu, Florin; Nuhiu, Artor; Krasniqi, Besnik A.; Aliu, … - In: Comparative economic research : Central and Eastern Europe 23 (2020) 2, pp. 41-51

Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor’s risk tolerance. The study measures the risk-reward relationship when the number of stocks in the portfolio increases. Six diverse portfolios have been...

Persistent link: https://www.econbiz.de/10012417505