On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
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- Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013. "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche 0948, CIRPEE.
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More about this item
Keywords
Volatility; multivariate GARCH; matrix norm; loss function; model confidence set; Volatilité; modèle GARCH multivarié; norme matricielle; fonction de perte; ensemble de modèles de confiance.;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2009-12-05 (Business Economics)
- NEP-ECM-2009-12-05 (Econometrics)
- NEP-ETS-2009-12-05 (Econometric Time Series)
- NEP-FOR-2009-12-05 (Forecasting)
- NEP-RMG-2009-12-05 (Risk Management)
Statistics
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