Work

Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management

Year: 2008

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2008.09.002

Authors: Jaroslava Hlouskova, Kurt Schmidheiny, Martin Wagner

Institutions: Institut für Höhere Studien - Institute for Advanced Studies (IHS), Universitat Pompeu Fabra

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2051005826

FWCI: 3.495

Cites: 31

Cited by: 22

Related to: 10