EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"multivariate realised volatility"
Narrow search

Narrow search

Year of publication
Subject
All
economic loss functions 1 model confidence set 1 multivariate realised volatility 1 multivariate volatility forecasts 1 portfolio optimisation 1 statistical loss functions 1 volatility forecast evaluation 1
more ... less ...
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Type of publication (narrower categories)
All
Thesis 1
Language
All
Undetermined 1
Author
All
Doolan, Mark Bernard 1
Source
All
BASE 1
Showing 1 - 1 of 1
Cover Image
Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?
Doolan, Mark Bernard - 2011
Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is...
Persistent link: https://www.econbiz.de/10009438015
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...