COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?

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Bibliographic Details
Main Author:	LIM ZHENG SEN, JOEL
Other Authors:	ECONOMICS
Format:	Theses and Dissertations
Published:	2023
Subjects:	Forecast evaluation Multivariate volatility Model Confidence Set Realized covariances Forecast combination MGARCH
Online Access:	https://scholarbank.nus.edu.sg/handle/10635/235858
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-235858
record_format	dspace
spelling	sg-nus-scholar.10635-2358582023-01-03T08:54:56Z COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE? LIM ZHENG SEN, JOEL ECONOMICS TKACHENKO DENIS Forecast evaluation Multivariate volatility Model Confidence Set Realized covariances Forecast combination MGARCH Bachelor's Bachelor of Social Sciences (Honours) 2023-01-03T05:55:26Z 2023-01-03T05:55:26Z 2022-10-31 Thesis LIM ZHENG SEN, JOEL (2022-10-31). COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?. ScholarBank@NUS Repository. https://scholarbank.nus.edu.sg/handle/10635/235858
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Forecast evaluation Multivariate volatility Model Confidence Set Realized covariances Forecast combination MGARCH
spellingShingle	Forecast evaluation Multivariate volatility Model Confidence Set Realized covariances Forecast combination MGARCH LIM ZHENG SEN, JOEL COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?
description	Bachelor's
author2	ECONOMICS
author_facet	ECONOMICS LIM ZHENG SEN, JOEL
format	Theses and Dissertations
author	LIM ZHENG SEN, JOEL
author_sort	LIM ZHENG SEN, JOEL
title	COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?
title_short	COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?
title_full	COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?
title_fullStr	COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?
title_full_unstemmed	COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?
title_sort	combining multivariate volatility forecasts in a high-dimensional setting: does statistical performance translate to portfolio performance?
publishDate	2023
url	https://scholarbank.nus.edu.sg/handle/10635/235858
_version_	1754611247697887232

COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?

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