Amendola, Alessandra; Storti, Giuseppe - 2009
volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …
Combination of
multivariate volatility
forecasts
Alessandra Amendola*
Giuseppe Storti*
SFB 649 …
Combination of multivariate volatility forecasts∗
Alessandra Amendola † Giuseppe Storti ‡
January 23, 2009
Abstract
This paper …