Application of Dynamic Copula-GARCH models in Portfolio Allocation
碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 101 === In this paper, we evaluate the use of optimization frameworks to allocate financial assets. Comparing time-varying copula–GARCH models with the Hansen''s skew t distribution (STD), the skewed generalized t distribution (SGT) and the generalized...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/98318501797560494183 |