The ORE service will unavailable between 8am and 9am Wednesday 2nd December for essential maintenance. Apologies for inconvenience caused. Exeter IT

Now showing items 1-1 of 1

  • Long memory conditional volatility and asset allocation 

    Harris, Richard D. F.; Nguyen, Anh (Elsevier, 2013)
    In this paper, we evaluate the economic benefits that arise from allowing for long memory when forecasting the covariance matrix of returns over both short and long horizons, using the asset allocation framework of Engle ...