Comparison of parameter estimation methods in cyclical long memory time series

Abstract : 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.
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https://halshs.archives-ouvertes.fr/halshs-00196426
Contributor : Dominique Guégan <>
Submitted on : Wednesday, December 12, 2007 - 5:03:46 PM
Last modification on : Thursday, October 4, 2018 - 6:28:03 PM

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Laurent Ferrara, Dominique Guegan. Comparison of parameter estimation methods in cyclical long memory time series. Christian L. Dunis, Allan Timmermann, John E. Moody. Developments in Forecast Combination and Portfolio Choice, Wiley, pp.330, 2001. ⟨halshs-00196426⟩

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