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...

"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...

We examine out of sample predictive power of real time monetary models with nonlinear adjustment in forecast errors for the Pound Sterling/US Dollar exchange rates. Real time revisions of U.K. and U.S. monetary aggregates and output are significant. By studying recursive out of sample forecast...

In this paper, using recent empirical results regarding the statistical properties of macroeconomic data revisions, we study the effects of data revisions in a general equilibrium framework. We find that the presence of data revisions, or data uncertainty, creates a precautionary motive and...