Verbeek, Marno; Rombouts, Jeroen VK - Society for Computational Economics - SCE - 2005
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...
