Henriques, Irene; Sadorsky, Perry A. - In: Journal of Risk and Financial Management 11 (2018) 3, pp. 1-19
several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized … orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An …