Rombouts, Jeroen V.K.; Verbeek, Marno - Institut d'Économie Appliquée, HEC Montréal (École … - 2004
In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining the...
