Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10002601610
Persistent link: https://www.econbiz.de/10002482836
Persistent link: https://www.econbiz.de/10003839340
In this paper we derive the closed form solution for multistep predictions of the conditional means and covariances for multivariate GARCH models. These predictions are useful e.g. in mean variance portfolio analysis when the rebalancing frequency is lower than the data frequency. In this...
Persistent link: https://www.econbiz.de/10012737041