Forecasting volatility for an optimal portfolio with stylized facts using copulas
Aida Karmous, Heni Boubaker, Lotfi Belkacem
| Year of publication: |
2021
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|---|---|
| Authors: | Karmous, Aida ; Boubaker, Heni ; Belkacem, Lotfi |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 58.2021, 2, p. 461-482
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| Subject: | Dynamic factor model | Multivariate stochastic volatility | Co-jumps | Leverage | Long memory | Copulas model | Portfolio optimization | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10041-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012615046