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...

Process control involves repeated hypothesis testing based on several samples. However, process control is not exactly hypothesis testing as such since it deals with detection of non-random patterns of variation as well in a fleeting kind of population. Compare this with hypothesis testing which...

We study here the behaviour of the first three eigenvalues (λ1,λ2,λ3) and their ratios [(λ1/λ2),(λ1/λ3),(λ2/λ3)] of the covariance matrices of the original return series and of those rebuilt from wavelet components for emerging and mature markets. It has been known for some time that...