Amendola, Alessandra; Storti, Giuseppe - 2009
volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …
predictor, the results of an application to tactical asset allocation are presented.
Keywords: Multivariate GARCH, Forecast … multivariate volatility predictions. Differently from Pesaran and Zaffaroni (2005), who
focus on the combination of forecast …