Asset allocation under threshold autoregressive models (Q5414497): Difference between revisions

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Latest revision as of 12:26, 8 July 2024

scientific article; zbMATH DE number 6292431
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English
Asset allocation under threshold autoregressive models
scientific article; zbMATH DE number 6292431

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    Asset allocation under threshold autoregressive models (English)
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    6 May 2014
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    asset allocation
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    SETAR model
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    STAR model
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    nonlinearity
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    conditional heteroscedasticity
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    dynamical programming
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    stochastic dynamical system
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