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Consistent ranking of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009
Persistent link: https://www.econbiz.de/10003850918
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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
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Jumps in cross-sectional rank and expected returns : a mixture model
González-Rivera, Gloria; Lee, Tae-hwy; Mishra, Santosh - In: Journal of applied econometrics 23 (2008) 5, pp. 585-606
Persistent link: https://www.econbiz.de/10003760414
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Consistent ranking of volatility models
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of econometrics 131 (2006) 1/2, pp. 97-121
Persistent link: https://www.econbiz.de/10003298566
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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
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Fissler, Tobias; Podolskij, Mark - 2014
Persistent link: https://www.econbiz.de/10010442414
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Prioritizing of volatility models : a computational analysis using data envelopment analysis
Petridis, Konstantinos; Petridis, Nikolaos E.; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2302-2334
Persistent link: https://www.econbiz.de/10014259155
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Consistent Ranking of Volatility Models
Hansen, Peter Reinhard; Lunde, Asger - 2003
We show that the empirical ranking of volatility models can be inconsistent for the true ranking if the evaluation is … conditional variance in the evaluation of ARCH-type models can result in an inferior model being chosen as "best" with a …
Persistent link: https://www.econbiz.de/10014087915
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Die Bewertung von Zinsoptionen
Walter, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000560789