Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach

In this paper we consider a portfolio selection problem defined for irregularly spaced observations. We use the Independent Component Analysis for the identification of the dependence structure and continuous-time GARCH models for the marginals. We discuss both estimation and simulation of market pr...

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Detalles Bibliográficos
Autores principales: Bianchi, Francesco, Mercuri, Lorenzo, Rroji, Edit
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8011053/
https://www.ncbi.nlm.nih.gov/pubmed/34765079
http://dx.doi.org/10.1007/s11408-021-00387-3

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8011053/
https://www.ncbi.nlm.nih.gov/pubmed/34765079
http://dx.doi.org/10.1007/s11408-021-00387-3

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