the financial instruments in the portfolio and on the volatility of those returns. This task is relatively simple if the … correlations and volatilities do not change over time. But in reality both volatility and stock market indexes’ correlations do …

volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

best. Also, the volatility forecasts generated from multivariate time series models can be successfully converted into … higher portfolio returns using quantitative investment approaches if the right balance of volatility modelling and portfolio …

measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models … of return volatility is driven by the realized measure, while the asymmetric effect is captured by the return shock (not …