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Ranking Multivariate GARCH Models by Problem Dimension
Caporin, Massimiliano - 2010
(2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10013143822
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Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2011
begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …
Persistent link: https://www.econbiz.de/10009643473
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Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Institute of Economic Research, Kyoto University - 2012
better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …
Persistent link: https://www.econbiz.de/10010553126
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Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Department of Economics and Finance, College of … - 2012
better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …
Persistent link: https://www.econbiz.de/10010556072
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Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2011
begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …
Persistent link: https://www.econbiz.de/10010837893
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Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
(2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10010731725
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Evaluating Macroeconomic Forecast: A Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010
Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that...
Persistent link: https://www.econbiz.de/10010731816
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Realized Volatility Risk
Allen, David E. - 2010
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10013149893
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Robust Ranking of Multivariate GARCH Models by Problem Dimension
Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2012
has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an …
Persistent link: https://www.econbiz.de/10010778698
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Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
McAleer, Michael; Franses, Philip Hans; Legerstee, Rianne - Facultad de Ciencias Económicas y Empresariales, … - 2012
better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …
Persistent link: https://www.econbiz.de/10010778705