Taras Bodnar

Europa-Universitaet Viadrina

Grosse Scharrnstr. 59

Frankfurt (Oder), Brandenburg 15230

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

319

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Testing Portfolio Efficiency Under Alternative Distributions

EFMA 2004 Basel Meetings Paper
Number of pages: 21 Posted: 18 May 2004
Taras Bodnar and Wolfgang Schmid
Europa-Universitaet Viadrina and Europa-Universitaet Viadrina
Downloads 170 (177,342)

Abstract:

Loading...

elliptically contoured distribution, asset allocation, daily stock returns, heavy-tail distribution, modelling financial data, multivariate stable distribution

2.

Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes

Number of pages: 29 Posted: 12 Sep 2012
Taras Bodnar and Nikolaus Hautsch
Europa-Universitaet Viadrina and University of Vienna - Department of Statistics and Operations Research
Downloads 149 (198,152)
Citation 1

Abstract:

Loading...

multiplicative error model, trading processes, copula, DCC-GARCH, liquidity risk