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 |
| Вид | статья |
| Язык | английский |
| Дата добавления | 20.01.2022 |
| Размер файла | 440,4 K |
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