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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
We assess the predictive accuracies 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 of 444 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10010730021
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This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …
Persistent link: https://www.econbiz.de/10008642224
paper examines the issue of forecasting by comparing forecasts of inbound tourism made prior to the political and economic … forecasting are not able to cope with unexpected crises and other disasters and that alternative methods need to be examined … according to a scale of severity, probability, type of event, level of certainty and suggested forecasting tools for each scale …
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