Dynamic asset allocation with regular vine copula
碩士 === 國立政治大學 === 風險管理與保險研究所 === 102 === Some empirical studies have showed that returns of some stocks are distributed in a non-Normal way, being asymmetric or even leptokurtic which indicates equity returns are negatively skewed and fat tails. In Riccetti , a copula–GARCH model is applied and can...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/84138797610630212397 |