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Combination of multivariate volatility forecasts (2009)

Amendola, Alessandra ; Storti, Giuseppe

Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät

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UID:

edochu_18452_4824

Format: 1 Online-Ressource (16 Seiten)

ISSN: 1860-5664

Series Statement: 2009,7

Content: This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite sample properties of the GMM estimator of the combination weights are investigated by Monte Carlo simulations. Finally, in order to give an appraisal of the economic implications of the combined volatility predictor, the results of an application to tactical asset allocation are presented.

Language: English

DOI: 10.18452/4172

URN: urn:nbn:de:kobv:11-10095755

URL: Volltext (kostenfrei)

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