search query: @indexterm heteroscedasticity / total: 30
reference: 6 / 30
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. |
SCIMA