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Asset allocation 1 Conditional variance-covariance matrix 1 Long memory 1
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Harris, Richard D.F. 1 Nguyen, Anh 1
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International Journal of Forecasting 1
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Long memory conditional volatility and asset allocation
Harris, Richard D.F.; Nguyen, Anh - In: International Journal of Forecasting 29 (2013) 2, pp. 258-273
In this paper, we evaluate the economic benefits that arise from allowing for long memory when forecasting the covariance matrix of returns over both short and long horizons, using the asset allocation framework of Engle and Colacito (2006) In particular, we compare the statistical and economic...
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