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Modeling conditional covariance for mixed-asset portfolios

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  • Zhou, Jian

Abstract

This paper studies the issue of modeling conditional covariance for a mixed-asset portfolio consisting of stock, bond, and REITs. We examine the performances of six commonly used covariance estimators. We find that no single estimator delivers the best performance when a wide range of statistical and economic criteria are considered. The optimal estimator to use is found to depend on the evaluation criterion under consideration.

Suggested Citation

  • Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
  • Handle: RePEc:eee:ecmode:v:40:y:2014:i:c:p:242-249
    DOI: 10.1016/j.econmod.2014.04.010
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