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 …. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and … paper investigates the economic benefit of direct utility based estimation of the parameters of a volatility model and …