Clements, Adam; Silvennoinen, Annastiina - National Centre for Econometric Research (NCER) - 2009
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 …