Journal ArticleOPEN ACCESS

Portfolio optimization of dynamic Copula models for dependent financial data using change point approach

  • KARA K
  • Emel; E
  • Sibel S
Communications Faculty Of Science University of Ankara Series A1Mathematics and Statistics (2016) 65(2) 175-188
DOI: 10.1501/commua1_0000000768
N/ACitations
Citations of this article
5Readers
Mendeley users who have this article in their library.

Abstract

… copula method are generally modelled with the GARCH or GJR models [23]. GARCH-n and GARCH… distributions were determined as GARCH-t and the best copula describing the de…

Cite

CITATION STYLE

APA

KARA, K., Emel;, E., & Sibel, S. (2016). Portfolio optimization of dynamic Copula models for dependent financial data using change point approach. Communications Faculty Of Science University of Ankara Series A1Mathematics and Statistics, 65(2), 175–188. https://doi.org/10.1501/commua1_0000000768

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free