Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management
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References listed on IDEAS
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
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More about this item
Keywordsmultivariate ARMA-GARCH models; volatility forecasts; portfolio optimization; minimum variance portfolio;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-11-10 (All new papers)
- NEP-ECM-2002-11-13 (Econometrics)
- NEP-ETS-2002-11-10 (Econometric Time Series)
- NEP-FMK-2002-11-10 (Financial Markets)
- NEP-RMG-2002-11-10 (Risk Management)
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