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...

This paper derives the closed form solution for multistep predictions of the conditional means and covariances for multivariate ARMA-GARCH models. These predictions are useful e.g. in mean-variance portfolio analysis when the rebalancing frequency is lower than the data frequency. In this...

In this paper we derive the closed form solution for multistep predictions of the conditional means and covariances for multivariate GARCH models. These predictions are useful e.g. in mean variance portfolio analysis when the rebalancing frequency is lower than the data frequency. In this...