Classifying Italian Pension Funds via GARCH Distance
Edoardo Otranto and
Alessandro Trudda ()
Additional contact information
Alessandro Trudda: University of Sassari
A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 189-197 from Springer
Abstract:
Abstract The adoption of pension funds in the Italian social security policy has increased the offer of several investment funds. Workers have to decide what kind of investment to perform, the funds having a different composition and a subsequently different degree of risk. In this paper we propose the use of a distance between GARCH models as a measure of different structure of volatility of some funds, with the purpose of classifying a set of funds. Furthermore we extend the idea of equivalence between ARMA models to the GARCH case to verify the equality of the risk of each couple of funds. An application on thirteen Italian funds and fund indices is performed.
Keywords: Agglomerative algorithm; Cluster analysis; GARCH models; Pension funds; Risk profile (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (2)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_24
Ordering information: This item can be ordered from
http://www.springer.com/9788847007048
DOI: 10.1007/978-88-470-0704-8_24
Access Statistics for this chapter
More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().