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On loss functions and ranking forecasting performances of multivariate volatility models · Study

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On loss functions and ranking forecasting performances of multivariate volatility models

Sébastien Laurent, Jeroen V.K. Rombouts, Francesco Violante

2012-08-13articleJournal of Econometrics141 citationsgreen

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity

1991Conditional Heteroskedasticity in Asset Returns: A New Approach

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

2002Dynamic Conditional Correlation

1994Comparing Predictive Accuracy

1995Comparing Predictive Accuracy

1995Multivariate Simultaneous Generalized ARCH

2003Modeling and Forecasting Realized Volatility

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks

2015Forecasting volatility with empirical similarity and Google Trends

2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions

2014Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach

2021Effects of structural changes on the prediction of downside volatility in futures markets

2014Long memory dynamics for multivariate dependence under heavy tails

Details

Year2012

Typearticle

VenueJournal of Econometrics

Languageen

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Identifiers

doi10.1016/j.jeconom.2012.08.004

openalex_workW3022085142

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