Kalotychou, Elena; Staikouras, Sotiris K.; Zhao, Gang - In: Journal of Banking & Finance 48 (2014) C, pp. 1-12
This paper assesses the economic value of modeling conditional correlations for mean–variance portfolio optimization. Using sector returns in three major markets we show that the predictability of models describing empirical regularities in correlations such as time-variation, asymmetry and...