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"Forecasting covariance for optimal carry trade portfolio allocations."

Matthew Ames et al. (2017)

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DOI: 10.1109/ICASSP.2017.7953290

access: closed

type: Conference or Workshop Paper

metadata version: 2023-09-30

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  dblp key:
  - conf/icassp/AmesBPSM17
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  - https://dblp.org/rec/conf/icassp/AmesBPSM17
Matthew Ames, Guillaume Bagnarosa, Gareth W. Peters, Pavel V. Shevchenko, Tomoko Matsui:
Forecasting covariance for optimal carry trade portfolio allocations. ICASSP 2017: 5910-5914

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