The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
Rasmus Varneskov; Valeri Voev
| Year of publication: |
2013
|
|---|---|
| Authors: | Varneskov, Rasmus Tangsgaard ; Voev, Valeri |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 20.2013, p. 83-95
|
| Subject: | Forecast evaluation | Volatility forecasting | Portfolio optimization | Mean-variance analysis | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009717873