Formation of investment portfolios of two assets based on forecast returns using the ARFIMA-GARCH model

The hypothesis that the formation of investment portfolios of two assets based on predicted returns obtained using fractal models with conditional heteroscedasticity ARFIMA-GARCH allows to obtain portfolios with better characteristics than using the ARFIM

Рубрика Финансы, деньги и налоги
Предмет Investments
Вид статья
Язык английский
Прислал(а) Robert V. Garafutdinov
Дата добавления 20.01.2022
Размер файла 440,4 K

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