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
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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