Applying time series decomposition to construct index-tracking portfolio
Jun Nakayama, Daisuke Yokouchi
| Year of publication: |
2018
|
|---|---|
| Authors: | Nakayama, Jun ; Yokouchi, Daisuke |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 25.2018, 4, p. 341-352
|
| Subject: | Hierarchical clustering | Index-tracking | Locally weighted regression | Lowess | Portfolio management | Time series decomposition | Portfolio-Management | Portfolio selection | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Dekompositionsverfahren | Decomposition method | Regressionsanalyse | Regression analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-018-9252-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012033034