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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

Abstract: 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)
Date: 2016
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Handle: RePEc:bit:bsrysr:v:7:y:2016:i:2:p:78-90