Asset allocation in a Bayesian copula-GARCH framework: An application to the ‘passive funds versus active funds’ problem
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DOI: 10.1057/jam.2010.6
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Cited by:
- Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2016.
"A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
- Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers 1301.5129, arXiv.org, revised Jan 2014.
- Virbickaite, Audrone & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2013. "A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection," DES - Working Papers. Statistics and Econometrics. WS ws131009, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yanwei Zhang & Vanja Dukic, 2013. "Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 891-919, December.
- Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
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Keywords
copulas; Bayesian econometrics; asset allocation; Gibbs sampling;All these keywords.
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