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The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options

Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco - School of Economics and Management, University of Aarhus - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...

Persistent link: https://www.econbiz.de/10009492823

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options

Rombouts, Jeroen; Stentoft, Lars Peter; Violente, Francesco - Centre Interuniversitaire de Recherche en Analyse des … - 2012

Persistent link: https://www.econbiz.de/10009652126

The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

Persistent link: https://www.econbiz.de/10010610494

On the Forecasting Accuracy of Multivariate GARCH Models

Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2010

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …

Persistent link: https://www.econbiz.de/10008595652

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 …

Persistent link: https://www.econbiz.de/10008642224

Contemporaneous aggregation of GARCH processes

Zaffaroni, Paolo - London School of Economics (LSE) - 2000

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on the cross-sectional dependence properties of the...

Persistent link: https://www.econbiz.de/10010746556

Contemporaneous aggregation of GARCH processes

Zaffaroni, Paolo - Banca d'Italia - 2002

In this paper we study the effect of contemporaneous aggregation of heterogeneous GARCH processes as the cross-sectional size diverges to infinity. A complete statistical characterization of the limit aggregate is provided under general assumptions on the form and degree of heterogeneity of the...

Persistent link: https://www.econbiz.de/10005113626

Forecasting euro area inflation: Does contemponaneous aggregration improve the forecasting performance

Hubrich, K. - de Nederlandsche Bank - 2001

forecast for the euro area in December 2000, forecasting inflation for the area has become of increasing importance. In this … study it is systematically analysed whether the forecasting performance of euro area inflation models can be improved by … aggregating forecasts of HICP subindices in comparison to forecasting total euro area inflation directly. The comparison is …

Persistent link: https://www.econbiz.de/10005106738

Comparing aggregate and disaggregate forecasts of first order moving average models

Sbrana, Giacomo; Silvestrini, Andrea - In: Statistical Papers 53 (2012) 2, pp. 255-263

Persistent link: https://www.econbiz.de/10010558288

Measuring the advantages of contemporaneous aggregation in forecasting

Li, Zeda; Wei, William W. S. - In: Journal of forecasting 43 (2024) 5, pp. 1308-1320

Persistent link: https://www.econbiz.de/10015108376