On loss functions and ranking forecasting performances of multivariate volatility models (Q528161): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / author | |||
| Property / author: Sébastien Laurent / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| 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 | |||
Revision as of 08:10, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On loss functions and ranking forecasting performances of multivariate volatility models |
scientific article |
Statements
On loss functions and ranking forecasting performances of multivariate volatility models (English)
0 references
12 May 2017
0 references
volatility
0 references
multivariate GARCH
0 references
matrix norm
0 references
loss function
0 references
model confidence set
0 references
