On loss functions and ranking forecasting performances of multivariate volatility models
Year of publication: |
2013
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Authors: | Laurent, Sébastien ; Rombouts, Jeroen V. K. ; Violante, Francesco |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 173.2013, 1, p. 1-10
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Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Deutschland | Germany | Ranking-Verfahren | Ranking method |
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