Similar Search Results

On the forecasting accuracy of multivariate GARCH models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2010

Persistent link: https://www.econbiz.de/10008648891

On loss functions and ranking forecasting performances of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10009719647

Robust forecasting of dynamic conditional correlation GARCH models

Boudt, Kris; Daníelsson, Jón; Laurent, Sébastien - 2010

Persistent link: https://www.econbiz.de/10009126801

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien - 2012

A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability. The ranking of multivariate volatility models is...

Persistent link: https://www.econbiz.de/10013116642

We modeled long memory with just one lag!

Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - 2022

Persistent link: https://www.econbiz.de/10013179719

Robust forecasting of dynamic conditional correlation GARCH models

Boudt, Kris; Daníelsson, Jón; Laurent, Sébastien - In: International journal of forecasting 29 (2013) 2, pp. 244-257

Persistent link: https://www.econbiz.de/10009743433

On the forecasting accuracy of multivariate GARCH models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of applied econometrics 27 (2012) 6, pp. 934-955

Persistent link: https://www.econbiz.de/10010219744

Do we need high frequency data to forecast variances?

Banulescu-Radu, Denisa; Hurlin, Christophe; Candelon, … - In: Annals of economics and statistics 123/124 (2016), pp. 135-174

Persistent link: https://www.econbiz.de/10011592741

Interpretable machine learning using partial linear models

Flachaire, Emmanuel; Hué, Sullivan; Laurent, Sébastien; … - In: Oxford bulletin of economics and statistics 86 (2024) 3, pp. 519-540

Persistent link: https://www.econbiz.de/10014543478

We modeled long memory with just one lag!

Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - In: Journal of econometrics 236 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014332326