Clements, Adam; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2009
Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation … subsequently used in an economic setting such as portfolio allocation. Differences in the criteria under which the model is … estimated and applied may inhibit reduce the overall economic benefit of a model in the context of portfolio allocation. This …