Combining multivariate volatility forecasts: an economic-based approach
João F. Caldeira, Guilherme V. Moura, Francisco J. Nogales and André A. P. Santos
| Year of publication: |
2017
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|---|---|
| Authors: | Caldeira, João F. ; Moura, Guilherme Valle ; Nogales, Francisco J. ; Santos, André A. P. |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 2, p. 247-285
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| Subject: | composite likelihood | conditional correlation models | model confidence set | realized ovariance | stochastic volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Korrelation | Correlation | Modellierung | Scientific modelling | Multivariate Analyse | Multivariate analysis | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbw010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011987429