Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management
Year of publication: |
2002-11
|
---|---|
Authors: | Hlouskova, Jaroslava ; Schmidheiny, Kurt ; Wagner, Martin |
Institutions: | Department Volkswirtschaftlehre, Universität Bern |
Subject: | multivariate ARMA-GARCH models | volatility forecasts | portfolio optimization | minimum variance portfolio |
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