A study on modeling the dynamics of statistically dependent returns
DOI10.1016/J.PHYSA.2014.02.077zbMATH Open1402.91909OpenAlexW2047361656MaRDI QIDQ1782797FDOQ1782797
Authors: Abbas Seifi, Hamed Davari-Ardakani, Majid Aminnayeri 
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
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serial correlationstatistical dependencemulti-period portfolioheteroskedastic time seriesscenario set
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Cites Work
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Cited In (6)
- Wealth management: modeling the nonlinear dependence
- A note on statistical models for individual hedge fund returns
- Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions
- Multistage portfolio optimization with stocks and options
- A Stylized Model for Long-Run Index Return Dynamics
- A multistage stochastic programming framework for cardinality constrained portfolio optimization
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