Multistep predictions for multivariate GARCH models : closed form solution and the value for portfolio management
Jaroslava Hlouskova; Kurt Schmidheiny; Martin Wagner
| 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
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| Subject: | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Prognose | Forecast |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003839340