Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Alessia Naccarato; Andrea Pierini
| Year of publication: |
2014
|
|---|---|
| Authors: | Naccarato, Alessia ; Pierini, Andrea |
| Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 11.2014, 3, p. 34-43
|
| Subject: | Markowitz portfolio | cointegrated vector autoregressive models | multivariate volatility models | Volatilität | Volatility | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Simulation | Italien | Italy | Schätzung | Estimation | Schätztheorie | Estimation theory | Kointegration | Cointegration | Multivariate Analyse | Multivariate analysis | Deutschland | Germany |
| 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/10010512185