Prediction Intervals for Time Series and their Applications to Portfolio Selection
This study considers prediction intervals for time series and applies the results to portfolio selection. The dynamics of the high and low underlying returns are depicted by time series models, which lead to a prediction interval of future returns. We propose an innovative criterion for portfolio s...
| Hlavní autoři: | , |
|---|---|
| Médium: | Článek |
| Jazyk: | English |
| Vydáno: |
Instituto Nacional de Estatística | Statistics Portugal
2020-02-01
|
| Edice: | Revstat Statistical Journal |
| Témata: | |
| On-line přístup: | https://revstat.ine.pt/index.php/REVSTAT/article/view/292 |