Showing 1 - 10 of 10,924
Persistent link: https://www.econbiz.de/10010422318
Persistent link: https://www.econbiz.de/10013459338
Persistent link: https://www.econbiz.de/10012102423
Persistent link: https://www.econbiz.de/10011817412
Persistent link: https://www.econbiz.de/10012197698
Persistent link: https://www.econbiz.de/10003791243
Pacific, Europe, USA, and emerging markets with multivariate t copula based on GARCH model, and to measure portfolio … estimated equations of USA, Europe and emerging REIT index returns were ARMA(2,2)-GARCH(1,1), while ASIA-Pacific was ARMA(3 …
Persistent link: https://www.econbiz.de/10012961894
Significant portfolio variance biases arise when contrasting multi-period portfolio returns based on the assumption of fixed continuously rebalanced portfolio weights as opposed to buy-and-hold weights. Empirical evidence obtained using S&P500 constituents from 2003 to 2011 demonstrates that,...
Persistent link: https://www.econbiz.de/10012930691
Persistent link: https://www.econbiz.de/10011998439
Persistent link: https://www.econbiz.de/10012162427