On loss functions and ranking forecasting performances of multivariate volatility models
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Publication:528161
DOI10.1016/J.JECONOM.2012.08.004zbMATH Open1443.62359OpenAlexW3022085142MaRDI QIDQ528161FDOQ528161
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
Recommendations
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (24)
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
- Asset allocation with correlation: a composite trade-off
- Multivariate leverage effects and realized semicovariance GARCH models
- A multivariate volatility vine copula model
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Variance clustering improved dynamic conditional correlation MGARCH estimators
- A robust spectral method for solving Heston's model
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- Using proxies to improve forecast evaluation
- Improving forecasts with the co-range dynamic conditional correlation model
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- The conditional autoregressive Wishart model for multivariate stock market volatility
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- Combining p-values for Multivariate Predictive Ability Testing
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- Can we estimate macroforecasters' mis-behavior?
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
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