Joint forecasts of Dow Jones stocks under general multivariate loss function

DOI10.1016/J.CSDA.2009.09.027MaRDI QIDQ2445692zbMATH OpenOpenAlexFDO

Authors Tansel Alp, Matei Demetrescu

Publication date 14 April 2014

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2009.09.027

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• An extension of the Gauss-Newton algorithm for estimation under asymmetric loss
• Asymmetric multivariate normal mixture GARCH
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Efficient estimation of copula-GARCH models
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Generating Random Variates Using Transformations with Multiple Roots
• Multivariate distribution models with generalized hyperbolic margins
• Multivariate mixed normal conditional heteroskedasticity
• On comparing multi-horizon forecasts
• Prediction with a Generalized Cost of Error Function
• Properties of optimal forecasts under asymmetric loss and nonlinearity
• Sequential conditional correlations: inference and evaluation
• Time-varying joint distribution through copulas

Cited in

(5)

• Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
• On conditional covariance modelling: an approach using state space models
• Some variants of adaptive sampling procedures and their applications
• Dynamic density forecasts for multivariate asset returns
• Sequential estimation for the multiple linear regression models with balanced loss functions

Describes a project that uses

Uses Software

• Ox
• GHICA

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