DYNAMIC PORTFOLIO OPTIMIZATION USING GENERALIZED DYNAMIC CONDITIONAL HETEROSKEDASTIC FACTOR MODELS
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概要
- 論文の詳細を見る
- 2010-06-01
著者
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Shiohama Takayuki
Department Of Mathematical Science Faculty Of Engineering Science Osaka University
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Taniguchi Masanobu
Department Of Applied Mathematics School Of Fundamental Science And Engineering Waseda University
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HALLIN Marc
Institut de Recherche en Statistique, ECARES, Universite libre de Bruxelles
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Hallin Marc
Institut De Recherche En Statistique Ecares Universite Libre De Bruxelles
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VEREDAS David
ECARES and Solvay Brussels School of Economics and Management, Universite libre de Bruxelles
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Veredas David
Ecares And Solvay Brussels School Of Economics And Management Universite Libre De Bruxelles
関連論文
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- SYSTEMATIC APPROACH FOR PORTMANTEAU TESTS IN VIEW OF THE WHITTLE LIKELIHOOD RATIO
- GENERALIZED INFORMATION CRITERIA IN MODEL SELECTION FOR LOCALLY STATIONARY PROCESSES(CELEBRATION VOLUME FOR AKAIKE)
- DYNAMIC PORTFOLIO OPTIMIZATION USING GENERALIZED DYNAMIC CONDITIONAL HETEROSKEDASTIC FACTOR MODELS
- AGGREGATION IN LINEAR MODELS FOR PANEL DATA
- RANK-BASED INFERENCE FOR MULTIVARIATE NONLINEAR AND LONG-MEMORY TIME SERIES MODELS
- AN ESTIMATION METHOD IN TIME SERIES ERRORS-IN-VARIABLES MODELS
- GENERALIZED INFORMATION CRITERIA IN MODEL SELECTION FOR LOCALLY STATIONARY PROCESSES
- GENERALIZED INFORMATION CRITERIA IN MODEL SELECTION FOR LOCALLY STATIONARY PROCESSES