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Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio.
Wei-Guo Zhang
Guo-Li Mo
Fang Liu
Yong-Jun Liu
Published in:
Soft Comput. (2018)
Keyphrases
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garch model
stock market
investment strategies
portfolio optimization
short term
stock exchange
stock price
financial markets
chinese stock market
long term
portfolio management
financial data
multivariate time series
transaction costs
sar images
spatial information
feature selection