Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach
Tihana Škrinjarić () and
Šego Boško ()
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Šego Boško: Faculty of Economics and Business, University of Zagreb, Croatia
Business Systems Research, 2016, vol. 7, issue 2, 78-90
Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time.
Keywords: Zagreb Stock Exchange; DCC and CCC GARCH; risk hedging; volatility (search for similar items in EconPapers)
JEL-codes: G12 C58 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bit:bsrysr:v:7:y:2016:i:2:p:78-90
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