Global European portfolio construction: Does a changing volatility structure matter?

Wolfgang Polasek and Momtchil Pojarliev

Applied Stochastic Models in Business and Industry, 2004, vol. 20, issue 3, 265-280

Abstract: We propose a multivariate time series model to forecast the returns and volatilities of 15 European financial markets. Using the approach of mean‐variance portfolios we develop several strategies which are based on the predictions of high‐dimensional VAR‐GARCH models for future volatilities. We explore the value of volatility timing strategies by simplifying the forecasting model. One approach for information blocking is based on factor analysis for the returns. Finally we discuss if multivariate volatility timing strategies are successful for beating the benchmark index (the MSCI Europe index). Copyright © 2004 John Wiley & Sons, Ltd.

Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1002/asmb.523

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:20:y:2004:i:3:p:265-280

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().