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paper investigates the economic benefit of direct utility based estimation of the parameters of a volatility model and … found that maximal utility based estimation, taking into account transactions costs, of a simple volatility model is … preferred on the basis of greater realized utility. Estimation of models using historical daily returns is preferred over …
Persistent link: https://www.econbiz.de/10005015195
Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function used to estimate the parameters of a volatility...
Persistent link: https://www.econbiz.de/10009645704
the loss function under which models of realised volatility are estimated. It is found that employing a utility based …
Persistent link: https://www.econbiz.de/10008562388