A study on modeling the dynamics of statistically dependent returns
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Publication:1782797
DOI10.1016/j.physa.2014.02.077zbMath1402.91909OpenAlexW2047361656MaRDI QIDQ1782797
Abbas Seifi, Majid Amin-Nayeri, Hamed Davari Ardakani
Publication date: 20 September 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2014.02.077
serial correlationstatistical dependencemulti-period portfolioheteroskedastic time seriesscenario set
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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Cites Work
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