Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25323
Authors: 
Amendola, Alessandra
Storti, Giuseppe
Year of Publication: 
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

Files in This Item:
File
Size
301.54 kB





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