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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