PO Box 476
Florianopolis, SC 88010-970
Universidade Federal de Santa Catarina (UFSC) - Department of Economics
in Total Papers Downloads
in Total Papers Citations
Socially responsible investment, Mutual fund fees, Mutual fund performance, Mutual Fund Management Companies
yield curve; dynamic factor model; dynamic conditional correlation (DCC); portfolio optimization; value-at-risk
Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation
backtesting, dynamic conditional correlation (DCC), forecast, maximum likelihood, value-at-risk
dynamic conditional correlation (DCC), forecasting, Kalman filter, learning, CAPM, performance evaluation, Sharpe ratio
Backtesting, Basel Accords, market risk, composite likelihood, risk management, volatility
yield curve, dynamic factor models, forecast combinations, economic value of forecasts, Kalman
Composite likelihood, conditional correlation models, model confidence set, realized covariance, stochastic volatility
Composite likelihood, conditional correlation models, factor models, multivariate GARCH
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