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Sensitivity analysis of volatility: a new tool for risk management
Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - 2002
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation problem may be recovered from the univariate approach. The...
Persistent link: https://www.econbiz.de/10011604240
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Asset allocation by variance sensitivity analysis
Manganelli, Simone - In: Journal of financial econometrics : official journal of … 2 (2004) 3, pp. 370-389
Persistent link: https://www.econbiz.de/10002214348
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Sensitivity analysis of volatility : a new tool for risk management
Manganelli, Simone (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10001735709
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Sensitivity Analysis of GARCH Models
Ceci, Vladimiro; Manganelli, Simone; Vecchiato, Walter - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345470
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Sensitivity analysis of volatility : a new tool for risk management
Manganelli, Simone - 2002
Persistent link: https://www.econbiz.de/10013434521
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Sensitivity analysis of volatility: a new tool for risk management
Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - European Central Bank - 2002
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation problem may be recovered from the univariate approach. The...
Persistent link: https://www.econbiz.de/10005222359