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Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

Author

Listed:
  • Škrinjarić Tihana

    ()

  • Šego Boško

    () (Faculty of Economics and Business, University of Zagreb, Croatia)

Abstract

Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time.

Suggested Citation

  • Škrinjarić Tihana & Šego Boško, 2016. "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach," Business Systems Research, Sciendo, vol. 7(2), pages 78-90, September.
  • Handle: RePEc:bit:bsrysr:v:7:y:2016:i:2:p:78-90
    as

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    More about this item

    Keywords

    Zagreb Stock Exchange; DCC and CCC GARCH; risk hedging; volatility;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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