Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models : comparative performance analysis for portfolio optimization
Zhangshuang Sun, Xuerui Gao, Kangyang Luo, Yanqin Bai, Jiyuan Tao, Guoqiang Wang
| Year of publication: |
2025
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|---|---|
| Authors: | Sun, Zhangshuang ; Gao, Xuerui ; Luo, Kangyang ; Bai, Yanqin ; Tao, Jiyuan ; Wang, Guoqiang |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 75.2025, Art.-No. 106808, p. 1-18
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| Subject: | Portfolio optimization | Covariance matrix estimation | Dynamic conditional angular correlation | Dynamic conditional correlation | GARCH family models | Portfolio-Management | Portfolio selection | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2025.106808 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015407281