Multistep predictions for multivariate GARCH models : closed form solution and the value for portfolio management
Jaroslava Hlouskova, Kurt Schmidheiny and Martin Wagner
| Year of publication: |
2004
|
|---|---|
| Authors: | Hlouskova, Jaroslava ; Schmidheiny, Kurt ; Wagner, Martin |
| Publisher: |
Lausanne : Univ. de Lausanne, DEEP |
| Subject: | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Prognose | Forecast |
| Extent: | 25 S graph. Darst |
|---|---|
| Series: | Cahiers de recherches économiques. - Lausanne : Ecole des HEC/DEEP, ZDB-ID 2614099-8. - Vol. 04.10 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.hec.unil.ch/deep/textes/04.10.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002482836