Modelling financial returns and portfolio construction for the Russian stock market
Year of publication: |
2014
|
---|---|
Authors: | Balaev, Alexey I. |
Published in: |
International Journal of Computational Economics and Econometrics. - Inderscience Enterprises Ltd, ISSN 1757-1170. - Vol. 4.2014, 1/2, p. 32-81
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | portfolio construction | Russian stock market | multivariate t-distribution | vector parameter | degrees of freedom | portfolio performance | multivariate modelling | financial returns | Russia | autocorrelation | volatility clustering | dynamic links | equity returns | heavy tails | marginal distributions | liquidity | investment risk | investment benefits |
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