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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25323
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| Title: | | Combination of multivariate volatility forecasts  |
| Authors: | | Amendola, Alessandra Storti, Giuseppe |
| Issue Date: | | 2009 |
| Series/Report no.: | | SFB 649 discussion paper 2009,007 |
| Abstract: | | 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. |
| Subjects: | | Multivariate GARCH forecast combination GMM portfolio optimization |
| JEL: | | C52 C53 C32 G11 G17 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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