Search Results - subject:"multivariate volatility forecasts"

Forecasting realized (co)variances with a block structure Wishart autoregressive model

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012 - Current Draft: November 2008

The increased availability of high-frequency data provides new tools for forecasting of variances and covariances between assets. However, recent realized (co)variance models may suffer from a 'curse of dimensionality' problem similar to that of multivariate GARCH specifications. As a result,...

Persistent link: https://www.econbiz.de/10010407673

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 … are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss … between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions …

Persistent link: https://www.econbiz.de/10009438015