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      <record key="001" att1="001" value="175250" att2="175250">001   175250</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Open Access</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/lib/oa9.pdf</field>
      <field key="079" subkey="z">Hlouskova, Jaroslava - et al., Multistep Predictions from Multivariate ARMA-GARCH Models and their Value for Portfolio Management</field>
      <field key="(pd" subkey="f">)</field>
      <field key="100" subkey="">Hlouskova, Jaroslava</field>
      <field key="103" subkey="">Department of Economics and Finance, Institute for Advanced Studies, Vienna</field>
      <field key="104" subkey="a">Schmidheiny, Kurt</field>
      <field key="107" subkey="">Department of Economics, University of Bern</field>
      <field key="108" subkey="a">Wagner, Martin</field>
      <field key="111" subkey="">Department of Economics, University of Bern</field>
      <field key="331" subkey="">Multistep Predictions from Multivariate ARMA-GARCH Models and their Value for Portfolio Management</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Bern, Switzerland</field>
      <field key="412" subkey="">Volkswirtschaftliches Institut, Universität Bern</field>
      <field key="425" subkey="">2002, November</field>
      <field key="433" subkey="">29 pp.</field>
      <field key="451" subkey="">Diskussionsschriften; 02-12</field>
      <field key="451" subkey="i">Volkswirtschaftliches Institut, Universität Bern (Ed.)</field>
      <field key="544" subkey="">OA9</field>
      <field key="700" subkey="">C32</field>
      <field key="700" subkey="">C61</field>
      <field key="700" subkey="">G11</field>
      <field key="720" subkey="">Multivariate ARMA-GARCH models</field>
      <field key="720" subkey="">Volatility forecasts</field>
      <field key="720" subkey="">Portfolio optimization</field>
      <field key="720" subkey="">Minimum variance portfolio</field>
      <field key="753" subkey="">Abstract: In this paper we derive the closed form solution for multistep predictions of the conditional means and their</field>
      <field key="cov" subkey="a">riances from multivariate ARMA-GARCH models. These are useful e.g. in mean variance portfolio analysis when the rebalancing</field>
      <field key="fre" subkey="q">uency is lower than the data frequency. In this situation the conditional mean and covariance matrix of the sum of the higher</field>
      <field key="fre" subkey="q">uency returns until the next rebalancing period is required as input in the mean variance portfolio problem. The closed form</field>
      <field key="sol" subkey="u">tion for this quantity is derived as well. We assess the empirical value of the result by evaluating and comparing the</field>
      <field key="per" subkey="f">ormance of quarterly and monthly rebalanced portfolios using monthly MSCI index data across a large set of ARMA-GARCH models.</field>
      <field key="The" subkey="">results forcefully demonstrate the substantial value of multistep predictions for portfolio management.;</field>
    </SEQUENTIAL>
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