This article assesses the ability of flexible dynamic correlation specifications to improve asset allocation decisions. To that end, we use the recently proposed Rotated Dynamic Conditional Correlation (RDCC) model that enables the estimation of models with high degree of parameterization and...

In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors. The α-th quantile of the innovation’s distribution is estimated with the fully...