Risk Measure COGARCH: Project Home – R-Forge

Project description

Portfolio selection with ICA-COGARCH based on homogeneous risk measures and its further development.

Project Info

Tags: VaR, ES, GARCH, COGARCH, Portfolio

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Registered: 2017-01-11 08:08
Activity Ranking: 0
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Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge