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Portfolio single index (PSI) multivariate conditional and stochastic volatility models.

Manabu AsaiMichael McAleerBernardo da Veiga
Published in: Math. Comput. Simul. (2008)
Keyphrases
  • point processes
  • garch model
  • stochastic models
  • decision making
  • probabilistic model
  • stochastic model
  • stochastic process
  • data sets
  • complex systems
  • monte carlo
  • historical data
  • stock price
  • investment strategies