Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
predictor, the results of an application to tactical asset allocation are presented.
Keywords: Multivariate GARCH, Forecast … dimensional portfolios. In theory
multivariate GARCH (MGARCH) models offer a flexible tool for the estimation of portfolio … on ˜zt. Moments based estimators
have already been used for estimating GARCH models parameters (Kristensen and Linton …