An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors
Year of publication: |
2012
|
---|---|
Authors: | Cardinali, Alessandro |
Published in: |
International Econometric Review (IER). - Ekonometrik Araştırmalar Derneği, ISSN 1308-8815. - Vol. 4.2012, 1, p. 1-16
|
Publisher: |
Ekonometrik Araştırmalar Derneği |
Subject: | Mean-Variance Portfolios | GARCH Processes | Forecasting | Turnover |
-
An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors
Cardinali, Alessandro, (2012)
-
Murphy Diagrams: Forecast Evaluation of Expected Shortfall
Ziegel, Johanna F., (2017)
-
Bastianin, Andrea, (2009)
- More ...
-
An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors
Cardinali, Alessandro, (2012)
-
A generalized multiscale analysis of the predictive content of Eurodollar implied volatilities
Cardinali, Alessandro, (2009)
-
Costationarity of locally stationary time series
Cardinali, Alessandro, (2010)
- More ...