Santos, André A. P.; Nogales, Francisco J.; Ruiz, Esther - In: Journal of Financial Econometrics 11 (2013) 2, pp. 400-441
This article compares multivariate and univariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to forecast portfolio value-at-risk (VaR). We provide a comprehensive look at the problem by considering realistic models and diversified portfolios containing a large...