On loss functions and ranking forecasting performances of multivariate volatility models

DOI10.1016/J.JECONOM.2012.08.004zbMath1443.62359OpenAlexW3022085142MaRDI QIDQ528161

Francesco Violante, Jeroen V. K. Rombouts, Sébastien Laurent

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://depot.erudit.org/id/003158dd

zbMATH Keywords

loss functionmatrix normvolatilitymultivariate GARCHmodel confidence set

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• Ox

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