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On the forecasting accuracy of multivariate GARCH models
LAURENT, Sébastien; ROMBOUTS, Jeroen V. K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2010
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting … full sample, MCS results are strongly driven by short periods of high market instability during which multivariate GARCH …
Persistent link: https://www.econbiz.de/10008642224
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Volatility models
BAUWENS, Luc; HAFNER, Christian; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2011
Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc Bauwens, Christian Hafner, and Sébastien Laurent, forthcoming in 2012 (John Wiley & sons). This chapter presents an introductory review of volatility models and some applications. The review is linked...
Persistent link: https://www.econbiz.de/10010927710
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A new class of multivariate skew densities, with application to GARCH models
BAUWENS, Luc; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2002
asymmetry coefficient and number of degrees of freedom. Combined with a multivariate GARCH model, this new family of …
Persistent link: https://www.econbiz.de/10005042844