Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios
Year of publication: |
2012
|
---|---|
Authors: | Mendes, Beatriz Vaz de Melo ; Marques, Daniel S. |
Published in: |
Emerging Markets Review. - Elsevier, ISSN 1566-0141. - Vol. 13.2012, 4, p. 449-464
|
Publisher: |
Elsevier |
Subject: | Pair-copulas | Optimal financial portfolios | Robust estimation | Rebalancing |
-
Choosing an optimal investment strategy : the role of robust pair-copulas based portfolios
Mendes, Beatriz Vaz de Melo, (2012)
-
The Implied Futures Financing Rate
Gunther, Nicholas, (2021)
-
A Gaussian Mixture Hidden Markov Model for the VIX
Aigner, Andreas A., (2023)
- More ...
-
Dynamic Copulas and Long Range Dependence
Mendes, Beatriz Vaz de Melo, (2011)
-
On the dependence structure of realized volatilities
Mendes, Beatriz Vaz de Melo, (2012)
-
Copula based models for serial dependence
Mendes, Beatriz Vaz de Melo, (2011)
- More ...