TY  - JOUR 
AU  - Jiménez Jiménez, María Inés
AU  - Mora-Valencia, Andrés
AU  - Ñiguez, Trino-Manuel
AU  - Perote Peña, Javier
PY  - 2020
SN  - 2227-7390
UR  - http://hdl.handle.net/10366/161227
AB  - [EN] The semi-nonparametric (SNP) modeling of the return distribution has been proven to be a flexible and accurate methodology for portfolio risk management that allows two-step estimation of the dynamic conditional correlation (DCC) matrix. For this...
LA  - eng
PB  - MDPI
KW  - Gram-Charlier series
KW  - DCC
KW  - DECO
KW  - Backtesting
KW  - Cryptocurrencies
TI  - Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies
DO  - 10.3390/math8122110
T2  - Mathematics
VL  - 8
M2  - 2110
ER  -