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Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series - MaRDI portal

Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series (Q3505329)

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Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
scientific article

    Statements

    title
    Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series (English)
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    author
    Mihaela Şerban
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    John Lenoczky
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    Sanjay Srivastava
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    Anthony E. Brockwell
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    publication date
    18 June 2008
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    zbMATH Keywords
    copulas
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    GARCH
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    portfolio optimization
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91B28
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    zbMATH DE Number
    5290237
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    OpenAlex ID
    W1967309357
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