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Persistent link: https://www.econbiz.de/10010341463
The aim of this paper is to investigate the predictive properties of the MSF-Scalar BEKK(1,1) model in context of portfolio optimization. The MSF-SBEKK model has been proposed as a feasible tool for analyzing multidimensional financial data (large n), but this research examines forecasting...
Persistent link: https://www.econbiz.de/10010610418