On the application of new tests for structural changes on global minimum-variance portfolios
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Publication:379943
DOI10.1007/s00362-013-0511-4zbMath1294.62239OpenAlexW1969524153MaRDI QIDQ379943
Daniel Ziggel, Tobias Berens, Dominik Wied
Publication date: 11 November 2013
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-013-0511-4
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (2)
Portfolio selection: shrinking the time-varying inverse conditional covariance matrix ⋮ A self-normalization break test for correlation matrix
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