Rombouts, Jeroen; Stentoft, Lars; Violante, Franceso - In: International Journal of Forecasting 30 (2014) 1, pp. 78-98
We assess the predictive accuracies of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set of 444 multivariate models that differ in their...