Boubaker, Heni; Sghaier, Nadia - In: Journal of Banking & Finance 37 (2013) 2, pp. 361-377
In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we...
