Selecting volatility forecasting models for portfolio allocation purposes
R. Becker, A.E. Clements, M.B. Doolan, A.S. Hurn
| Year of publication: |
July-September 2015
|
|---|---|
| Authors: | Becker, Ralf ; Clements, Adam ; Doolan, M. B. ; Hurn, Stan |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 849-861
|
| Subject: | Multivariate time series | Loss functions | Evaluating forecasts | Covariance matrix | GARCH models | Model confidence set | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Modellierung | Scientific modelling |