Evaluating Volatility and Correlation Forecasts
DOI10.1007/978-3-540-71297-8_36zbMATH Open1178.91229OpenAlexW1543755524MaRDI QIDQ3646983FDOQ3646983
Authors: Andrew J. Patton, Kevin Sheppard 
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:474e796d-5656-4e6b-94d3-b10125785fc5
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
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- Forecast the role of GCC financial stress on oil market and GCC financial markets using convolutional neural networks
- On loss functions and ranking forecasting performances of multivariate volatility models
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