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Comparing univariate and multivariate models to forecast portfolio value-at-risk

Santos, André A. P.; Nogales, Francisco J.; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 400-441

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Optimal portfolios with minimum capital requirements

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Comparing high-dimensional conditional covariance matrices : implications for portfolio selection

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Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors

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Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

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...

Persistent link: https://www.econbiz.de/10010690228