An Application of Copula-GARCH on Asset Allocation: A Case for Gold, Oil, Cotton, Stock, and Bond
碩士 === 國立中山大學 === 財務管理學系研究所 === 101 === This paper applied Copula-GARCH methodology for asset allocation of a portfolio with commodities, including, gold, oil, cotton, stock, and bond. We used GARCH(1,1)-student- t to fit the marginal distribution. Instead of correlation, we applied Copula to captur...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56etv2 |