Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns.
George A. ChristodoulakisStephen E. SatchellPublished in: Eur. J. Oper. Res. (2002)
Keyphrases
- sharpe ratio
- highly correlated
- positively correlated
- financial markets
- dow jones
- high correlation
- portfolio optimization
- negatively correlated
- strongly correlated
- portfolio management
- decision making
- stock market
- stock price
- trading strategies
- random field model
- financial services
- spatial correlation
- power law
- conditional probabilities
- probability distribution