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  • Search: subject:"multivariate volatility forecasts"
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Year of publication
Subject
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multivariate volatility forecasts 3 ARCH model 2 ARCH-Modell 2 Analysis of variance 2 Correlation 2 Forecasting model 2 HAR 2 Korrelation 2 Multivariate Analyse 2 Multivariate analysis 2 Prognoseverfahren 2 Varianzanalyse 2 Volatility 2 Volatilität 2 WAR 2 realized covariance 2 Estimation theory 1 Schätztheorie 1 Theorie 1 Theory 1 economic loss functions 1 model confidence set 1 multivariate realised volatility 1 portfolio optimisation 1 statistical loss functions 1 volatility forecast evaluation 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Thesis 1 Working Paper 1
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Language
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English 2 Undetermined 1
Author
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Caporin, Massimiliano 2 Ranaldo, Angelo 2 Bonato, M. 1 Bonato, Matteo 1 Doolan, Mark Bernard 1
Published in...
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The European journal of finance 1 Working papers on finance 1
Source
All
ECONIS (ZBW) 2 BASE 1
Showing 1 - 3 of 3
Cover Image
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
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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
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A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
Bonato, M.; Caporin, Massimiliano; Ranaldo, Angelo - In: The European journal of finance 18 (2012) 9/10, pp. 761-774
Persistent link: https://www.econbiz.de/10009691781
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