This paper compares different models for volatility forecasts with respect to the value at risk performance (VaR) for daily stock index returns. The VaR measures the potential loss of a portfolio for the next period at a given significance level. We will focus on the question if the choice of...

This paper explores the performance of a global minimum variance (GMV) portfolio in dependence of the structure of the covariance matrix and the type of volatility model. We investigate quantitative portfolio strategies based on patterns of the covariance matrix, especially a diagonal covariance...

We illustrate in this paper the use of multivariate time series forecasts for portfolio construction and address the following research questions: First, how can forecasts of time series models be used for portfolio weight selection? Second, what kind of time series information improves...