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Persistent link: https://www.econbiz.de/10011387014
In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S\&P 500 and Nasdaq indexes. Examining the...
Persistent link: https://www.econbiz.de/10005706293
"The `holy grail' in multivariate GARCH modelling is without any doubt a parameterization of the covariance matrix that is feasible in terms of estimation at a minimum loss of generality" (van der Weide, 2002). Recent models that aspire such favourable position in this trade-off are the DCC...
Persistent link: https://www.econbiz.de/10005706569
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In recent years the computers have shown to be a powerful tool in financial forecasting. Many machine learning …
Persistent link: https://www.econbiz.de/10005342917
This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts for a portfolio of assets. To achieve this goal, we unify past multivariate models by using a general copula framework and we propose many new extensions. We differentiate the...
Persistent link: https://www.econbiz.de/10005342981
This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial … production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate … linear models perform about as well for almost every forecasting horizon …
Persistent link: https://www.econbiz.de/10005345252
This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...
Persistent link: https://www.econbiz.de/10005345303
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