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...

This paper proposes a hybrid multivariate exponentially weighted moving average (EWMA) estimator of the variance-covariance matrix of returns. The proposed estimator employs a range-based EWMA specification to estimate the conditional variances of returns, and a standard return-based EWMA...