{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,3]],"date-time":"2026-08-03T17:46:43Z","timestamp":1785779203277,"version":"3.56.0"},"reference-count":41,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2026,3,13]],"date-time":"2026-03-13T00:00:00Z","timestamp":1773360000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"},{"start":{"date-parts":[[2026,3,13]],"date-time":"2026-03-13T00:00:00Z","timestamp":1773360000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"funder":[{"DOI":"10.13039\/501100003246","name":"Nederlandse Organisatie voor Wetenschappelijk Onderzoek","doi-asserted-by":"publisher","award":["VI.VIDI.201.079"],"award-info":[{"award-number":["VI.VIDI.201.079"]}],"id":[{"id":"10.13039\/501100003246","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2026,8]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>This paper compares the statistical and economic performance of state\u2010of\u2010the\u2010art high\u2010frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002\u20132023), we assess model performance through a Global Minimum Variance portfolio optimization exercise, with and without short\u2010selling restrictions across multiple forecast horizons. We find that the EWMA model cannot consistently be outperformed by more complex HF\u2010based volatility models at the daily and weekly forecast horizons, even delivering significant utility gains when including transaction costs due to a favorable balance between turnover and ex\u2010post portfolio volatility. At the monthly horizon, the EWMA remains competitive against  most of its competitors. Our findings hold across alternative specifications, including different estimation window lengths, portfolio sizes and smoothing parameter values, emphasizing the continued relevance of parsimonious volatility specifications, such as the EWMA model, in realistic investment settings.<\/jats:p>","DOI":"10.1002\/jae.70053","type":"journal-article","created":{"date-parts":[[2026,3,13]],"date-time":"2026-03-13T09:52:57Z","timestamp":1773395577000},"page":"523-538","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Revisiting EWMA in High\u2010Frequency\u2010Based Portfolio Optimization: A Comparative Assessment"],"prefix":"10.1002","volume":"41","author":[{"given":"Laura Capera","family":"Romero","sequence":"first","affiliation":[{"name":"Vrije Universiteit Amsterdam  Amsterdam the Netherlands"},{"name":"Tinbergen Institute  Amsterdam the 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