Andre A. P.; Nogales, Francisco J.; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2009
This article addresses the problem of forecasting portfolio value-at-risk (VaR) with multivariate GARCH models vis-à-vis univariate models. Existing literature has tried to answer this question by analyzing only small portfolios and using a testing framework not appropriate for ranking VaR...