Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis
Year of publication: |
2012-09-24
|
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Authors: | Khalfaoui, R ; Boutahar, M |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Dynamic conditional correlations | Value-at-Risk | wavelet decomposition | Stock prices |
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