Pages that link to "Item:Q528161"

The following pages link to On loss functions and ranking forecasting performances of multivariate volatility models (Q528161):

Displaying 17 items.

• The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147) (← links)
• Variance clustering improved dynamic conditional correlation MGARCH estimators (Q1623552) (← links)
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach (Q1659128) (← links)
• Asset allocation with correlation: a composite trade-off (Q1683161) (← links)
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
• A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (Q2008095) (← links)
• Comparing unconstrained parametrization methods for return covariance matrix prediction (Q2084329) (← links)
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
• Multivariate leverage effects and realized semicovariance GARCH models (Q2190232) (← links)
• Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
• A robust spectral method for solving Heston's model (Q2247922) (← links)
• Improving forecasts with the co-range dynamic conditional correlation model (Q2338532) (← links)
• A multivariate volatility vine copula model (Q5034252) (← links)
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices (Q6064131) (← links)
• Can we estimate macroforecasters' mis-behavior? (Q6109933) (← links)
• Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective (Q6150535) (← links)
• Using proxies to improve forecast evaluation (Q6179125) (← links)