Before revision:   Finally, we apply our methodology to a panel of asset returns belonging to the S&P100 index in order to compute one-step-ahead conditional prediction intervals for the period 2006-2013.
After revision:  We study the finite-sample properties of our estimators by means of Monte Carlo simulations. Finally, we apply our methodology to a panel of asset returns belonging to the S&P100 index in order to compute one-step-ahead conditional prediction intervals for the period 2006-2013.