Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
From MaRDI portal
Publication:6553231
DOI10.1515/snde-2022-0107MaRDI QIDQ6553231
Adrian Licht, Unnamed Author, Szabolcs Blazsek
Publication date: 11 June 2024
Published in: Unnamed Author (Search for Journal in Brave)
score-driven copulasdynamic conditional score (DCS) modelsequity-gold portfoliosgeneralized autoregressive score (GAS) modelsmodel confidence set (MCS)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
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