Titre:
  • Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors
Auteur:Halbleib, Roxana; Voev, Valerie
Statut de publication:Publié, 2010-12
series:ECARES Working Papers, ECARES 2010-041
Sujet CREF:Economie
Sujet JEL:Multiple or Simultaneous Equation Models: Time-Series Models
Forecasting and Other Model Applications
Portfolio Choice; Investment Decisions
Volumes/pages:26 p.
Mots-clés:Forecasting
Fractional integration
Stochastic dominance
Portfolio optimization
Realized covariance
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2013/73585