Empirical Analysis on Growth Optimal Portfolio (GOP) Using ARMA-GARCH-DCC Model

Autor:	Jeong Ho Lee, YongWoong Lee
Rok vydání:	2021
Předmět:	Momentum (technical analysis) Arma garch Autoregressive conditional heteroskedasticity Econometrics Portfolio Mathematics
Zdroj:	The Korean Data Analysis Society. 23:471-489
ISSN:	1229-2354
DOI:	10.37727/jkdas.2021.23.1.471
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1f394f9d1049a5a935c4c2d35d61daee https://doi.org/10.37727/jkdas.2021.23.1.471 Zobrazit plný text záznamu