Dynamicka optimalizace portfolia ve financni krizi za pomoci dennich a vysokofrekvencnich dat
This thesis focuses on variance-covariance matrix modeling and forecasting. Majority of existing research evaluates covariance forecasts by statistical criteria. Our main contribution is economic comparison of parametric and non- parametric approaches of covariance matrix modeling. Parametric approa...
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| Format: | Dissertation |
| Language: | English |
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2013
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| Online Access: | http://www.nusl.cz/ntk/nusl-329141 |