Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?
|Year of publication:||
|Authors:||Doolan, Mark Bernard|
Queensland University of Technology
|Subject:||multivariate volatility forecasts | volatility forecast evaluation | statistical loss functions | economic loss functions | portfolio optimisation | model confidence set | multivariate realised volatility|
|Type of publication:||Book / Working Paper|
|Type of publication (narrower categories):||Thesis|
Doolan, Mark Bernard (2011) Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions? PhD thesis, Queensland University of Technology.
QUT Business School; School of Economics and Finance
Bonato, Matteo, (2012)
Bonato, M., (2012)
Doguwa, Sani I., (2015)
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