Listar Ciencias Sociales Aplicadas por tema "Dynamic Conditional Correlation"
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Assessing the contribution of garch-type models with realized measures to BM&FBovespa stocks allocation
(2018) [Tesis de maestría]In this work we perform an extensive backtesting study targeting as a main goal to assess the performance of global minimum variance (GMV) portfolios built on volatility forecasting models that make use of high frequency ...