Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
Andreea G. Halunga and Christos S. Savva
| Year of publication: |
2019
|
|---|---|
| Authors: | Halunga, Andreea G. ; Savva, Christos S. |
| Subject: | Asset allocation | multivariate GARCH | spurious estimation | structural breaks | Portfolio-Management | Portfolio selection | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2017.1411431 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181343