Portfolio management implications of volatility shifts: Evidence from simulated data
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- Viviana Fernandez & Brian M Lucey, 2006. "Portfolio management implications of volatility shifts: Evidence from simulated data," Documentos de Trabajo 219, Centro de Economía Aplicada, Universidad de Chile.
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More about this item
Keywords
volatility shifts; wavelets; value at risk;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2006-05-27 (Computational Economics)
- NEP-FIN-2006-05-27 (Finance)
- NEP-FMK-2006-05-27 (Financial Markets)
- NEP-RMG-2006-05-27 (Risk Management)
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