UniSa - IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishThe paper investigates the effect of model uncertainty on multivariate volatility prediction. Our aim is twofold. First, by means of a Monte Carlo simulation, we assess the accuracy of different techniques in estimating the combination weights assigned to each candidate model. Second, in order to investigate the economic profitability of forecast combination, we present the results of an application to the optimization of a portfolio of US stock returns. Our main finding is that, for both real and simulated data, the results are highly sensitive not only to the choice of the model but also to the specific combination procedure being used.
| Titolo: | A comparison of different procedures for combining high-dimensional multivariate volatility forecasts | |
| Autori: | ||
| Data di pubblicazione: | 2016 | |
| Serie: | ||
| Abstract: | The paper investigates the effect of model uncertainty on multivariate volatility prediction. Our aim is twofold. First, by means of a Monte Carlo simulation, we assess the accuracy of different techniques in estimating the combination weights assigned to each candidate model. Second, in order to investigate the economic profitability of forecast combination, we present the results of an application to the optimization of a portfolio of US stock returns. Our main finding is that, for both real and simulated data, the results are highly sensitive not only to the choice of the model but also to the specific combination procedure being used. | |
| Handle: | http://hdl.handle.net/11386/4655011 | |
| ISBN: | 978-3-319-27274-0 | |
| Appare nelle tipologie: | 2.1.2 Articolo su libro con ISBN |
File in questo prodotto:
http://hdl.handle.net/11386/4655011
Copyright © 2022