: Multivariate GARCH, dynamic conditional correlation, kernel regression, minimum variance portfolio, tracking error minimization … nd that our new semi- parametric model is competitive with rival speci cations, in particular in terms of tracking error … minimization. We conclude in Section 5, also pointing out interesting directions for future research. The Appendix contains a proof …

characterized by an “error minimization” approach. If the integrality requirement is relaxed, fractional seat allocations (target … through the use of network flow techniques. These error minimization methods can be viewed as an alternative to the classical … not necessarily satisfied by the error minimization methods. Copyright Sociedad de Estadística e Investigación Operativa …