Comparison of parameter estimation methods in cyclical long memory time series
Ferrara, Laurent ; Guegan, Dominique
HAL, halshs-00196426 / Harvested from HAL
Text on HAL
Developments in Forecast Combination and Portfolio Choice focuses on the following three themes: model and forecast combinations; structural change and long memory, controlling downside risk and investment strategies. Written by leading international researchers and practitioners, his book deals efficiently with three key questions facing portfolio managers. How to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models and how to control downside risk, i.e. the risk of loss, in portfolio
management.
Publié le : 2001-10-05
Classification:  Forecast Combination,  Portfolio Choice,  [SHS.ECO]Humanities and Social Sciences/Economies and finances,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 
@article{halshs-00196426,
     author = {Ferrara, Laurent and Guegan, Dominique},
     title = {Comparison of parameter estimation methods in cyclical long memory time series},
     journal = {HAL},
     volume = {2001},
     number = {0},
     year = {2001},
     language = {en},
     url = {http://dml.mathdoc.fr/item/halshs-00196426}
}

Ferrara, Laurent; Guegan, Dominique. Comparison of parameter estimation methods in cyclical long memory time series. HAL, Tome 2001 (2001) no. 0, . http://gdmltest.u-ga.fr/item/halshs-00196426/