On loss functions and ranking forecasting performances of multivariate volatility models (Q528161)
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scientific article; zbMATH DE number 6714819
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| English | On loss functions and ranking forecasting performances of multivariate volatility models |
scientific article; zbMATH DE number 6714819 |
Statements
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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0.8165815472602844
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0.7918787598609924
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0.7626115083694458
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0.7443057894706726
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0.7420951128005981
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