Hlouskova, Jaroslava; Schmidheiny, Kurt; Wagner, Martin - Department Volkswirtschaftlehre, Universität Bern - 2002
covariances from multivariate ARMA-GARCH models. These are useful e.g. in mean variance portfolio analysis when the rebalancing … ARMA-GARCH models. The results forcefully demonstrate the substantial value of multistep predictions for portfolio …