Albuquerque, Pedro Henrique Melo; de Moraes Souza, João Gabriel; Kimura, Herbert Artificial intelligence in portfolio formation and forecast: using different variance-covariance matrices. (English) Zbl 07706312 Commun. Stat., Theory Methods 52, No. 12, 4229-4246 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{P. H. M. Albuquerque} et al., Commun. Stat., Theory Methods 52, No. 12, 4229--4246 (2023; Zbl 07706312) Full Text: DOI
Giuzio, Margherita; Paterlini, Sandra Un-diversifying during crises: is it a good idea? (English) Zbl 07097399 Comput. Manag. Sci. 16, No. 3, 401-432 (2019). MSC: 90Bxx 91G10 91G70 91-08 PDFBibTeX XMLCite \textit{M. Giuzio} and \textit{S. Paterlini}, Comput. Manag. Sci. 16, No. 3, 401--432 (2019; Zbl 07097399) Full Text: DOI Link
Liagkouras, K.; Metaxiotis, K. Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem. (English) Zbl 1419.91587 Ann. Oper. Res. 272, No. 1-2, 119-137 (2019). MSC: 91G10 68T20 PDFBibTeX XMLCite \textit{K. Liagkouras} and \textit{K. Metaxiotis}, Ann. Oper. Res. 272, No. 1--2, 119--137 (2019; Zbl 1419.91587) Full Text: DOI
Calzolari, Giorgio; Halbleib, Roxana Estimating stable latent factor models by indirect inference. (English) Zbl 1452.62747 J. Econom. 205, No. 1, 280-301 (2018). MSC: 62P05 60E07 62M10 62H15 62P20 PDFBibTeX XMLCite \textit{G. Calzolari} and \textit{R. Halbleib}, J. Econom. 205, No. 1, 280--301 (2018; Zbl 1452.62747) Full Text: DOI
Broda, Simon A.; Haas, Markus; Krause, Jochen; Paolella, Marc S.; Steude, Sven C. Stable mixture GARCH models. (English) Zbl 1443.62336 J. Econom. 172, No. 2, 292-306 (2013). MSC: 62P05 62M10 91G10 91G70 PDFBibTeX XMLCite \textit{S. A. Broda} et al., J. Econom. 172, No. 2, 292--306 (2013; Zbl 1443.62336) Full Text: DOI Link Link
Bonato, Matteo Modeling fat tails in stock returns: a multivariate stable-GARCH approach. (English) Zbl 1304.65017 Comput. Stat. 27, No. 3, 499-521 (2012). MSC: 62-08 PDFBibTeX XMLCite \textit{M. Bonato}, Comput. Stat. 27, No. 3, 499--521 (2012; Zbl 1304.65017) Full Text: DOI