Hlouskova, Jaroslava; Schmidheiny, Kurt; Wagner, Martin - Department Volkswirtschaftlehre, Universität Bern - 2002
In this paper we derive the closed form solution for multistep predictions of the conditional means and their covariances from multivariate ARMA-GARCH models. These are useful e.g. in mean variance portfolio analysis when the rebalancing frequency is lower than the data frequency. In this...