A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio

DOI10.1016/j.physa.2019.122191OpenAlexW2966148710WikidataQ127400524 ScholiaQ127400524MaRDI QIDQ2163718

Heni Boubaker, Aida Karmous, Lotfi Belkacem

Publication date: 10 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.122191

zbMATH Keywords

long memoryportfolio optimizationleveragedynamic factor modelco-jumpsdynamic conditional correlation model

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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