LAURENT, Sebastien; ROMBOUTS, Jeroen V.K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2009
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out-of-sample conditional variance matrices. We investigate how...