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Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020

Forecasting the real price of oil in a changing world : a forecast combination approach

Baumeister, Christiane; Kilian, Lutz - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 338-351

Persistent link: https://www.econbiz.de/10011390071

On the efficiency of the gold market : results of a real-time forecasting approach

Pierdzioch, Christian; Risse, Marian; Rohloff, Sebastian - In: International review of financial analysis 32 (2014), pp. 95-108

Persistent link: https://www.econbiz.de/10010461517

International asset allocation under regime switching, skew and kurtosis preferences

Guidolin, Massimo (contributor); … - 2005

"This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard numerical approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its skewness...