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Please use this identifier to cite or link to this item: http://hdl.handle.net/2307/4165

Title: Multivariate statistical analysis for portfolio selection
Authors: Pierini, Andrea
Tutor: Naccarato, Alessia
Keywords: BEKK model
CVAR model
Markowitz portfolio
Simulation
Issue Date: 3-Jun-2014
Publisher: Universit√† degli studi Roma Tre
Abstract: The use of a BEKK (Baba-Engle-Kraft-Kroner) model is proposed to estimate the volatility of a set of financial historical series with a view to the selection of a stock portfolio. An individual element on the diagonal of the volatility matrix is estimated by applying the model to the series of log returns both of the share i to which it refers and of the market index. An extra-diagonal element is instead estimated by using in the model the covariances between the series of log returns of the two
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URI: http://hdl.handle.net/2307/4165
Access Rights: info:eu-repo/semantics/openAccess
Appears in Collections:Dipartimento di Economia
T - Tesi di dottorato

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