Portfolio Single Index (PSI) multivariate volatility models

MODSIM05 - International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, Proceedings

Volumn , Issue , 2005, Pages 2288-2295

  Asai, Manabu ^a   McAleer, Michael ^b   Da Veiga, Bernardo ^b  

^a SOKA UNIVERSITY   (Japan)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Asymmetry; Constant correlations; Multivariate volatility; Portfolio models; Single index models

Indexed keywords

ASYMMETRY; CONSTANT CORRELATIONS; MULTIVARIATE VOLATILITY; PORTFOLIO MODELS; SINGLE INDEX MODELS; COVARIANCE MATRICES; ESTIMATION METHODS; STOCHASTIC VOLATILITY MODEL; VALUE AT RISK;

COMPUTER SIMULATION; COVARIANCE MATRIX; DECISION MAKING; ECONOMIC ANALYSIS; ESTIMATION; RISK MANAGEMENT; STOCHASTIC SYSTEMS; VALUE ENGINEERING;

STOCHASTIC MODELS;

EID: 80053120359     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (17)

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