Research paper / RESOURCE PROFILE

Multivariate GARCH and portfolio variance prediction: A forecast recon

Publication: Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective. Published Mar 18, 2026.

Research & Papers
arxiv.orgPublished Mar 18, 2026
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Overview

Publication: Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective. Published Mar 18, 2026.

Publication information

Publication title
Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
Authors
Massimiliano Caporin, Daniele Girolimetto, Emanuele Lopetuso
Published
Mar 18, 2026
Last publication revision
Apr 21, 2026
Subject areas
stat.AP, econ.EM, q-fin.RM, q-fin.ST
Publication source
arxiv.org · abs/2603.17463v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2603.17463 ↗

Discovery references

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Screenshot unavailableResource information and source links remain available. DeepIntoStreams/TSFM_Finance — reviewed source website screenshot
RepositoryChecked capture

DeepIntoStreams/TSFM_Finance

github.com

the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”.

GitHub stars
31
Language
Jupyter Notebook
Code license
Apache-2.0
foundation-modeltime-seriesresearch-lab
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96 Authority 96 / 100 Cited by 2 resources in this directory 2 discovery sources Directory record updated: 2026-10-11 How scoring works →

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