Caporin, Massimiliano; McAleer, Michael - Dipartimento di Scienze Economiche "Marco Fanno", … - 2010
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of models, namely...
