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- W1993143594 abstract "This paper evaluates the performance of various factor models with firm-specific variables in forecasting correlation matrices at the German stock market. We investigate forecasts of correlations for a comprehensive sample and a sample of blue chips and analyse the impact of stock market crashes on the forecasting accuracy. Our empirical results show that the multi-factor models do not generally produce better forecasts than ‘naive’ models. Specifically, the traditional industry mean model significantly outperforms all other techniques in most of the time periods." @default.
- W1993143594 created "2016-06-24" @default.
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- W1993143594 date "1999-03-01" @default.
- W1993143594 modified "2023-09-27" @default.
- W1993143594 title "Forecasting the Correlation Structure of German Stock Returns: A Test of Firm-Specific Factor Models" @default.
- W1993143594 doi "https://doi.org/10.1111/1468-036x.00081" @default.
- W1993143594 hasPublicationYear "1999" @default.
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