Wydział Nauk Ekonomicznych i Zarządzania / Faculty of Economic Sciences and Management Przeglądanie wg słów kluczowych "multivariate GARCH models"

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Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices

Fiszeder, Piotr (2011-12-11)

An evaluation of the efficiency of different methods of the minimum variance portfolio selection was performed for seventy stocks from the Warsaw Stock Exchange. Eight specifications of multivariate GARCH models and six ...