search query: @indexterm RELIABILITY / total: 243
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| Author: | Gerhard, F. Hess, D. |
| Title: | Multivariate market risk estimators: reliability and transaction costs in the context of portfolio selection |
| Journal: | European Journal of Finance
2003 : FEB, VOL. 9:1, p. 1-18 |
| Index terms: | Autoregression Heteroscedasticity Multivariate analysis Portfolio selection Reliability Risk management Transaction costs |
| Language: | eng |
| Abstract: | The forecast performance of different multivariate estimators of market risk such as sample estimators, exponentially weighted moving averages, a multivariate GARCH model and Markov switching model is evaluated. The estimators' quality is assessed directly in the context of portfolio management and risk control. |
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