Hafner, C.M.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2005
: 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 …
