A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs-Reference-Cited by-同舟云学术

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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Published:2021-04 Issue: Volume:125 Page:106046
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Paolella Marc S.,Polak Paweł,Walker Patrick S.

Funder

Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference90 articles.

1. Expected shortfall: a natural coherent alternative to value at risk;Acerbi;Economic Notes,2002

2. Aielli, G. P., Caporin, M., 2015. Dynamic Principal Components: A New Class of Multivariate GARCH Models. Available at SSRN: https://ssrn.com/abstract=2559758.

3. Using principal component analysis to estimate a high dimensional factor model with high-Frequency data;Aït-Sahalia;J Econom,2017

4. Principal component analysis of high-frequency data;Aït-Sahalia;J Am Stat Assoc,2019

5. Orthogonal GARCH;Alexander;Mastering Risk,2001

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