A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio |
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A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (English)
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10 August 2022
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dynamic factor model
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co-jumps
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leverage
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long memory
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dynamic conditional correlation model
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portfolio optimization
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