A generalized VECM/VAR-DCC/ADCC framework and its application in the Black-Litterman model: Illustrated with a China portfolio
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DOI: 10.1108/cfri-07-2016-0095
Abstract: Purpose The existing literature on the Black-Litterman (BL) model does not offer adequate guidance on how to generate investors’ views in an objective manner. Therefore, the purpose of this paper is to establish a generalized… read more here.
Keywords: dcc; vecm var; model; dcc adcc ... See more keywords