کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958698 | 929052 | 2009 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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 situation the conditional mean and the conditional covariance matrix of the cumulated higher frequency returns are required as inputs in the mean-variance portfolio problem. The empirical value of the result is evaluated by comparing the performance of quarterly and monthly rebalanced portfolios using monthly MSCI index data across a large set of GARCH models. Using correct multistep predictions generally results in lower risk and higher returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 16, Issue 2, March 2009, Pages 330–336
Journal: Journal of Empirical Finance - Volume 16, Issue 2, March 2009, Pages 330–336
نویسندگان
Jaroslava Hlouskova, Kurt Schmidheiny, Martin Wagner,