On loss functions and ranking forecasting performances of multivariate volatility models
Year of publication: |
2013
|
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Authors: | Laurent, Sébastien ; Rombouts, Jeroen V.K. ; Violante, Francesco |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 173.2013, 1, p. 1-10
|
Publisher: |
Elsevier |
Subject: | Volatility | Multivariate GARCH | Matrix norm | Loss function | Model confidence set |
Type of publication: | Article |
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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, (2009)
-
On the Forecasting Accuracy of Multivariate GARCH Models
Laurent, Sébastien, (2010)
-
On the forecasting accuracy of multivariate GARCH models
LAURENT, Sébastien, (2010)
- More ...
-
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
Laurent, Sébastien, (2009)
-
On the Forecasting Accuracy of Multivariate GARCH Models
Laurent, Sébastien, (2010)
-
On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien, (2013)
- More ...