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

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