Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management

Jaroslava Hlouskova, Kurt Schmidheiny () and Martin Wagner

Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) from Université de Lausanne, Faculté des HEC, DEEP

Abstract: The missing wage rigidity in general equilibrium models of efficiency wages is an artifact of the external wage reference perspective conventionally adopted by the literature. Efficiency wage models based on an internal wage reference perspective are capable of generating strong wage rigidity. We propose a structural model of efficiency wages that is broadly consistent with the reported evidence on fairness in labor relations and rent-sharing. Our model provides a robust explanation for wage rigidity and procyclical effort. It also rationalizes reciprocal behavior by workers and the observation that firm productivity is a significant predictor of wage setting.

Keywords: multivariate GARCH models; volatility forecasts; portfolio optimization; minimum variance portfolio (search for similar items in EconPapers)
JEL-codes: C32 C61 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
Date: 2004-06
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Related works:
Journal Article: Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:lau:crdeep:04.10

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