Asset allocation under higher moments with the GARCH filter
Ryo Kinoshita
| Year of publication: |
2015
|
|---|---|
| Authors: | Kinoshita, Ryo |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 49.2015, 1, p. 235-254
|
| Subject: | Portfolio allocation | GARCH model | Non-normality | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011325723