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On the Inverse of the Covariance Matrix in Portfolio Analysis

✍ Scribed by Guy V. G. Stevens


Book ID
108500828
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
66 KB
Volume
53
Category
Article
ISSN
0022-1082

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Forecasting the conditional covariance m
✍ Trino-Manuel Ñíguez; Antonio Rubia πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 197 KB

## Abstract Long‐range persistence in volatility is widely modelled and forecast in terms of the so‐called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not straight