Comparing Forecasts of Extremely Large Conditional Covariance Matrices Working Papers

authors

MOURA, GUILHERME V.
ALVES PORTELA SANTOS, ANDRE
RUIZ ORTEGA, ESTHER

publication date

2019

series title

Working paper. Statistics and Econometrics

full text

http://hdl.handle.net/10016/29291

series number

19-16

keywords

covariance forecasting; garch; minimum-variance portfolio; portfolio turnover; risk-adjusted return; stochastic volatility