EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/25323
  
Title:Combination of multivariate volatility forecasts PDF Logo
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

Files in This Item:
File Description SizeFormat
59023630X.PDF301.54 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/25323

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.