Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
financial institutions, the implementation of effective risk management
strategies requires the creation and management of large ….20.
management applications, allowing to improve over the performance of single (possibly
misspecified) volatility models.
References …-asset volatility models for risk management, CEPR Discussion Paper No.
5279 .
Storti, G. (2006) Minimum distance estimation of GARCH(1 …