Comparison of parameter estimation methods in cyclical long memory time series

Laurent Ferrara and Dominique Guegan ()
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Dominique Guegan: Département Mathématiques Mécanique et Informatique - URCA - Université de Reims Champagne-Ardenne

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Abstract: Developments in Forecast Combination and Portfolio Choice focuses on the following three themes: model and forecast combinations; structural change and long memory, controlling downside risk and investment strategies. Written by leading international researchers and practitioners, his book deals efficiently with three key questions facing portfolio managers. How to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models and how to control downside risk, i.e. the risk of loss, in portfoliomanagement.

Keywords: Forecast Combination; Portfolio Choice (search for similar items in EconPapers)
Date: 2001-10
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Citations: View citations in EconPapers (10)

Published in Christian L. Dunis, Allan Timmermann, John E. Moody. Developments in Forecast Combination and Portfolio Choice, Wiley, pp.330, 2001

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00196426

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