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 … evaluate the distance between the true covariance matrix and its forecast. The evaluation of multivariate volatility models …