Realized semicovariances : empirical applications to volatility forecasting and portfolio optimization
Rafael Ricco, Flavio A. Ziegelmann
| Year of publication: |
2023
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| Authors: | Ricco, Rafael ; Ziegelmann, Flávio A. |
| Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 21.2023, 3, p. 99-122
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| Subject: | Economic performance | High-frequency data | LASSO | Markov switching | Portfolio optimization | Realized semicovariances | Volatility forecasting | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Schätzung | Estimation | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/rbfin.v21n3.2023.85622 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014442583