Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2010
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems. We consider 10 assets from NYSE and NASDAQ and compare 125 model based one-step-ahead conditional variance...