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

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Revision as of 01:39, 20 March 2024

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On loss functions and ranking forecasting performances of multivariate volatility models
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    On loss functions and ranking forecasting performances of multivariate volatility models (English)
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    12 May 2017
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    volatility
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    multivariate GARCH
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    matrix norm
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    loss function
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    model confidence set
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