Matches in SemOpenAlex for { <https://semopenalex.org/work/W1569469926> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W1569469926 endingPage "458" @default.
- W1569469926 startingPage "439" @default.
- W1569469926 abstract "Long-range persistence in volatility is widely modelled and forecast in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not straightforward. We discuss and apply a procedure which is able to forecast the multivariate volatility of a portfolio including assets with long memory. The main advantage of this model is that it is feasible enough to be applied on large-scale portfolios, solving the problem of dealing with extremely complex likelihood functions which typically arises in this context. An application of this procedure to a portfolio of five daily exchange rate series shows that the out-of-sample forecasts for the multivariate volatility are improved under several loss functions when the long-range dependence property of the portfolio assets is explicitly accounted for. Copyright © 2006 John Wiley & Sons, Ltd." @default.
- W1569469926 created "2016-06-24" @default.
- W1569469926 creator A5001599113 @default.
- W1569469926 creator A5083887567 @default.
- W1569469926 date "2006-01-01" @default.
- W1569469926 modified "2023-09-25" @default.
- W1569469926 title "Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence" @default.
- W1569469926 cites W1576326745 @default.
- W1569469926 cites W1727659491 @default.
- W1569469926 cites W1965749369 @default.
- W1569469926 cites W1969960895 @default.
- W1569469926 cites W1979575715 @default.
- W1569469926 cites W1999996900 @default.
- W1569469926 cites W2001806364 @default.
- W1569469926 cites W2005424182 @default.
- W1569469926 cites W2011586511 @default.
- W1569469926 cites W2018249206 @default.
- W1569469926 cites W2023240121 @default.
- W1569469926 cites W2039566874 @default.
- W1569469926 cites W2047867102 @default.
- W1569469926 cites W2059744362 @default.
- W1569469926 cites W2061521831 @default.
- W1569469926 cites W2063593194 @default.
- W1569469926 cites W2065194732 @default.
- W1569469926 cites W2092729734 @default.
- W1569469926 cites W2094808838 @default.
- W1569469926 cites W2116807840 @default.
- W1569469926 cites W2117178635 @default.
- W1569469926 cites W2123244457 @default.
- W1569469926 cites W2139395482 @default.
- W1569469926 cites W2165408259 @default.
- W1569469926 cites W3114379428 @default.
- W1569469926 doi "https://doi.org/10.1002/for.997" @default.
- W1569469926 hasPublicationYear "2006" @default.
- W1569469926 type Work @default.
- W1569469926 sameAs 1569469926 @default.
- W1569469926 citedByCount "21" @default.
- W1569469926 countsByYear W15694699262013 @default.
- W1569469926 countsByYear W15694699262014 @default.
- W1569469926 countsByYear W15694699262015 @default.
- W1569469926 countsByYear W15694699262016 @default.
- W1569469926 countsByYear W15694699262017 @default.
- W1569469926 countsByYear W15694699262018 @default.
- W1569469926 countsByYear W15694699262019 @default.
- W1569469926 countsByYear W15694699262023 @default.
- W1569469926 crossrefType "journal-article" @default.
- W1569469926 hasAuthorship W1569469926A5001599113 @default.
- W1569469926 hasAuthorship W1569469926A5083887567 @default.
- W1569469926 hasBestOaLocation W15694699262 @default.
- W1569469926 hasConcept C105795698 @default.
- W1569469926 hasConcept C106159729 @default.
- W1569469926 hasConcept C149782125 @default.
- W1569469926 hasConcept C151730666 @default.
- W1569469926 hasConcept C161584116 @default.
- W1569469926 hasConcept C162324750 @default.
- W1569469926 hasConcept C199163554 @default.
- W1569469926 hasConcept C202655437 @default.
- W1569469926 hasConcept C2779343474 @default.
- W1569469926 hasConcept C2780821815 @default.
- W1569469926 hasConcept C33923547 @default.
- W1569469926 hasConcept C41008148 @default.
- W1569469926 hasConcept C86803240 @default.
- W1569469926 hasConcept C91602232 @default.
- W1569469926 hasConceptScore W1569469926C105795698 @default.
- W1569469926 hasConceptScore W1569469926C106159729 @default.
- W1569469926 hasConceptScore W1569469926C149782125 @default.
- W1569469926 hasConceptScore W1569469926C151730666 @default.
- W1569469926 hasConceptScore W1569469926C161584116 @default.
- W1569469926 hasConceptScore W1569469926C162324750 @default.
- W1569469926 hasConceptScore W1569469926C199163554 @default.
- W1569469926 hasConceptScore W1569469926C202655437 @default.
- W1569469926 hasConceptScore W1569469926C2779343474 @default.
- W1569469926 hasConceptScore W1569469926C2780821815 @default.
- W1569469926 hasConceptScore W1569469926C33923547 @default.
- W1569469926 hasConceptScore W1569469926C41008148 @default.
- W1569469926 hasConceptScore W1569469926C86803240 @default.
- W1569469926 hasConceptScore W1569469926C91602232 @default.
- W1569469926 hasIssue "6" @default.
- W1569469926 hasLocation W15694699261 @default.
- W1569469926 hasLocation W15694699262 @default.
- W1569469926 hasOpenAccess W1569469926 @default.
- W1569469926 hasPrimaryLocation W15694699261 @default.
- W1569469926 hasRelatedWork W1487742271 @default.
- W1569469926 hasRelatedWork W2033490192 @default.
- W1569469926 hasRelatedWork W2036327890 @default.
- W1569469926 hasRelatedWork W2147461958 @default.
- W1569469926 hasRelatedWork W2589594047 @default.
- W1569469926 hasRelatedWork W3121245432 @default.
- W1569469926 hasRelatedWork W3124016299 @default.
- W1569469926 hasRelatedWork W3124118004 @default.
- W1569469926 hasRelatedWork W3152314914 @default.
- W1569469926 hasRelatedWork W3125276240 @default.
- W1569469926 hasVolume "25" @default.
- W1569469926 isParatext "false" @default.
- W1569469926 isRetracted "false" @default.
- W1569469926 magId "1569469926" @default.
- W1569469926 workType "article" @default.