Time-varying correlations and Sharpe ratios during quantitative easing

DOI10.1515/SNDE-2016-0083OpenAlexW2768159801MaRDI QIDQ2691736

Paul Jones, Haley O'Steen

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0083

zbMATH Keywords

multivariate GARCHasset allocationSharpe ratios

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach

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