How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Hela Mzoughi; Faysal Mansouri
| Year of publication: |
2013
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|---|---|
| Authors: | Mzoughi, Hela ; Mansouri, Fayçal |
| Published in: |
Journal of quantitative economics : official journal of the Indian Econometric Society. - Dordrecht : Springer Science + Business Media, ISSN 0971-1554, ZDB-ID 1235170-2. - Vol. 11.2013, 1/2, p. 1-14
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| Subject: | Long memory process | copulas | measures of dependence | autocorrelations | persistence | volatility | GARCH | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Theorie | 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/10010338365