On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
Year of publication: |
2009
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Authors: | Laurent, Sébastien ; Rombouts, Jeroen V.K. ; Violante, Francesco |
Institutions: | Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) |
Subject: | Volatility | multivariate GARCH | Matrix norm | Loss function | Model confidence set |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G10 - General Financial Markets. General |
Source: |
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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien, (2013)
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On the Forecasting Accuracy of Multivariate GARCH Models
Laurent, Sébastien, (2010)
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On the forecasting accuracy of multivariate GARCH models
LAURENT, Sébastien, (2010)
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On the Forecasting Accuracy of Multivariate GARCH Models
Laurent, Sébastien, (2010)
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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien, (2013)
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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien, (2013)
- More ...