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pro vyhledávání: '"Haugen, Sverre Hauso"'
Autor:
Sleire, Anders D., Støve, Bård, Otneim, Håkon, Berentsen, Geir Drage, Tjøstheim, Dag, Haugen, Sverre Hauso
It is well known that there are asymmetric dependence structures between financial returns. In this paper we use a new nonparametric measure of local dependence, the local Gaussian correlation, to improve portfolio allocation. We extend the classical
Externí odkaz:
http://arxiv.org/abs/2106.12425
Autor:
Sleire, Anders D., Støve, Bård, Otneim, Håkon, Berentsen, Geir Drage, Tjøstheim, Dag, Haugen, Sverre Hauso
Publikováno v:
In Finance Research Letters May 2022 46 Part B
