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Robust Forecasting of Dynamic Conditional Correlation GARCH Models · Study

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PreprintRobust Forecasting of Dynamic Conditional Correlation GARCH Models

Kris Boudt2010

OA

Preprintgreen2010

Robust Forecasting of Dynamic Conditional Correlation GARCH Models

Kris Boudt · Jón Danı́elsson · Sébastien Laurent

48 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1994Comparing Predictive Accuracy 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models 2001The Economic Value of Volatility Timing Using 'Realized' Volatility 2003Performance Hypothesis Testing with the Sharpe Ratio 2011On the forecasting accuracy of multivariate GARCH models 1993The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps 2012On loss functions and ranking forecasting performances of multivariate volatility models

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2020Risk quantification and validation for Bitcoin 2014Variance Targeting Estimation of Multivariate GARCH Models 2017Robust bootstrap forecast densities for GARCH returns and volatilities

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Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1721421

openalex_workW4236643107

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