Combination of multivariate volatility forecasts
Year of publication: |
2009
|
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Authors: | Amendola, Alessandra ; Storti, Giuseppe |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Volatilität | Prognoseverfahren | Momentenmethode | Multivariate Analyse | ARCH-Modell | Portfolio-Management | Theorie | Multivariate GARCH | forecast combination | GMM | portfolio optimization |
Series: | SFB 649 Discussion Paper ; 2009,007 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 59023630X [GVK] hdl:10419/25323 [Handle] |
Classification: | C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; C32 - Time-Series Models ; G11 - Portfolio Choice ; G17 - Financial Forecasting |
Source: |
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