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On the Forecasting Accuracy of Multivariate GARCH Models

Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2010

model based one-step-ahead conditional variance forecasts over a period of 10 years using the model confidence set (MCS) and … conditional variance process generates superior forecasts. The SPA test suggests that, independently from the period, the best … models do not provide significantly better forecasts than the DCC model of Engle (2002) with leverage in the conditional …

Persistent link: https://www.econbiz.de/10008595652

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

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is substituted by a proxy, the ordering implied by a loss function may be biased with respect to the intended one. We point out that the size of the distortion is strictly tied to the...

Persistent link: https://www.econbiz.de/10010608475

The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...

Persistent link: https://www.econbiz.de/10010610494

Measuring Persistence in Volatility Spillovers

Conrad, Christian; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional...

Persistent link: https://www.econbiz.de/10010636810

VCRIX - A Volatility Index for Crypto-Currencies

Kim, Alisa - 2020

Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While the CRIX index offered the first scientifically-backed proxy to the cryptomarket (analogous to S&P 500), the introduction of Bitcoin...

Persistent link: https://www.econbiz.de/10012846988

Consistent ranking of multivariate volatility models

LAURENT, Sebastien; ROMBOUTS, Jeroen V.K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2009

A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out-of-sample conditional variance matrices. We investigate how...

Persistent link: https://www.econbiz.de/10008550212

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

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/10008567826

On the forecasting accuracy of multivariate GARCH models

LAURENT, Sébastien; ROMBOUTS, Jeroen V. K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2010

model based one-step-ahead conditional variance forecasts over a period of 10 years using the model confidence set (MCS) and … for non-stationarity in the conditional variance process generates superior forecasts. The SPA test suggests that …, independently from the period, the best models do not provide significantly better forecasts than the DCC model of Engle (2002) with …

Persistent link: https://www.econbiz.de/10008642224

The Efficacy of Term Structure Estimation Technique : A Monte Carlo Study

Buono, Mark J. - 2013

The term structure of default-free interest rates is not directly observable in a market where government obligations of various maturities bear coupons at different rates, and where ordinary income and capital gains are subject to unknown and varying effective tax rates. Accurate knowledge of...

Persistent link: https://www.econbiz.de/10012753650

Two-Stage Structural Equation Modeling : Controlling for Omitted and Confounding Variables in Structural Equation Models

Kotzian, Peter - 2022

When testing hypotheses, problems of omitted variables / confounding variables arise, understood as variables, which determine both, the variable seen as dependent and the variables seen as independent, resulting in spurious correlations among both. Experimental approaches counter this problem...

Persistent link: https://www.econbiz.de/10014078871