Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

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Škrinjarić Tihana; Šego Boško;
  • Publisher: Society for promotion of business information technology
  • Journal: Business Systems Research : International journal of the Society for Advancing Innovation and Research in Economy,volume 7,issue 2 (issn: 1847-9375, eissn: 1847-9375)
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.1515/bsrj-2016-0014
  • Subject: Zagreb Stock Exchang; DCC and CCC GARCH; risk hedging; volatility | HF5001-6182 | Business | DCC and CCC GARCH | C58 | Zagreb Stock Exchange | risk hedging | G12 | volatility

Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate G... View more
  • References (37)
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