Multistep predictions for multivariate GARCH models : closed form solution and the value for portfolio management
Year of publication: |
2009
|
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Authors: | Hlouskova, Jaroslava ; Schmidheiny, Kurt ; Wagner, Martin |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 16.2009, 2, p. 330-336
|
Subject: | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Prognose | Forecast |
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