说明:Fabozzi, F.J., Giacometti, R., Bertocchi, M. and Rachev, S.T. (2007) ‘Stable distributions in the
Black-Litterman approach to the asset allocation’, Quantitative Finance, Vol. 7, No. 4,
pp.423–433. <qq_18822147> 在 上传 | 大小:295936
说明:We show how the ARMA-Power GARCH model for the conditional mean and variance
can be adapted to analyze times series data showing asymmetry. <qq_18822147> 在 上传 | 大小:324608