On loss functions and ranking forecasting performances of multivariate volatility models (Q528161): Difference between revisions

@@ Property / author @@
-Sébastien Laurent
@@ Property / author: Sébastien Laurent / rank @@
-Normal rank
@@ Property / author @@
+Sébastien Laurent
@@ Property / author: Sébastien Laurent / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6714819
@@ Property / zbMATH DE Number: 6714819 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+volatility
@@ Property / zbMATH Keywords: volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multivariate GARCH
@@ Property / zbMATH Keywords: multivariate GARCH / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+matrix norm
@@ Property / zbMATH Keywords: matrix norm / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+loss function
@@ Property / zbMATH Keywords: loss function / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+model confidence set
@@ Property / zbMATH Keywords: model confidence set / rank @@
+Normal rank
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+Ox
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+Publication:528161