Global European portfolio construction: Does a changing volatility structure matter?

Polasek, Wolfgang, Pojarliev, Momtchil . Applied Stochastic Models in Business and Industry 2004. 20 (3) :265-280

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Bibtex

@article{CIS-222619,
  Author = {Polasek, Wolfgang and Pojarliev, Momtchil},
  Title = {Global European portfolio construction: Does a changing volatility structure matter?},
  Journal = {Applied Stochastic Models in Business and Industry},
  Volume = {20},
  Number = {3},
  Year = {2004},
  Pages = {265--280},
  Keywords = {Factor analysis, Multivariate time series, VAR-GARCH, Volatility timing, mean-variance portfolios}
}

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