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

@@ Property / DOI @@
-.1016/j.jeconom.2012.08.004
@@ Property / DOI: 10.1016/j.jeconom.2012.08.004 / rank @@
-Normal rank
@@ Property / author @@
-Sébastien Laurent
@@ Property / author: Sébastien Laurent / rank @@
-Normal rank
@@ Property / describes a project that uses @@
+Ox
@@ Property / describes a project that uses: Ox / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3022085142
@@ Property / OpenAlex ID: W3022085142 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
+Normal rank
@@ Property / cites work @@
+Q3546377
@@ Property / cites work: Q3546377 / rank @@
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Q3099631
@@ Property / cites work: Q3099631 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5580053
@@ Property / cites work: Q5580053 / rank @@
+Normal rank
@@ Property / cites work @@
+Tests of equal forecast accuracy and encompassing for nested models
+Normal rank
@@ Property / cites work @@
+A component model for dynamic correlations
@@ Property / cites work: A component model for dynamic correlations / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling the persistence of conditional variances
+Normal rank
@@ Property / cites work @@
+Q5532825
@@ Property / cites work: Q5532825 / rank @@
+Normal rank
@@ Property / cites work @@
+Tests of Conditional Predictive Ability
@@ Property / cites work: Tests of Conditional Predictive Ability / rank @@
+Normal rank
@@ Property / cites work @@
+Econometric specification of stochastic discount factor models
+Normal rank
@@ Property / cites work @@
+Pseudo Maximum Likelihood Methods: Theory
@@ Property / cites work: Pseudo Maximum Likelihood Methods: Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent ranking of volatility models
@@ Property / cites work: Consistent ranking of volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+The Model Confidence Set
@@ Property / cites work: The Model Confidence Set / rank @@
+Normal rank
@@ Property / cites work @@
+Q3185327
@@ Property / cites work: Q3185327 / rank @@
+Normal rank
@@ Property / cites work @@
+A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
+Normal rank
@@ Property / cites work @@
+Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Multivariate rotated ARCH models
@@ Property / cites work: Multivariate rotated ARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility forecast comparison using imperfect volatility proxies
+Normal rank
@@ Property / cites work @@
+Evaluating Volatility and Correlation Forecasts
@@ Property / cites work: Evaluating Volatility and Correlation Forecasts / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Multivariate GARCH Models
@@ Property / cites work: Multivariate GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Inference about Predictive Ability
@@ Property / cites work: Asymptotic Inference about Predictive Ability / rank @@
+Normal rank
@@ Property / cites work @@
+A Reality Check for Data Snooping
@@ Property / cites work: A Reality Check for Data Snooping / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2012.08.004
@@ Property / DOI: 10.1016/J.JECONOM.2012.08.004 / rank @@
+Normal rank