Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict one-step-ahead...

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...

Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present regime switching and there are different distributions of returns in bull and...