JOURNAL ARTICLE

Quantile approximations in auto-regressive portfolio models

Aleš AhčanIgor MastenSašo PolanecMihael Perman

Year: 2010 Journal:   Journal of Computational and Applied Mathematics Vol: 235 (8)Pages: 1976-1983   Publisher: Elsevier BV
Keywords:
Mathematics Quantile Autoregressive model Approximations of π Econometrics Portfolio Applied mathematics Finance

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Topics

Stochastic processes and financial applications
Social Sciences →  Economics, Econometrics and Finance →  Finance
Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Financial Markets and Investment Strategies
Social Sciences →  Economics, Econometrics and Finance →  Finance

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