Browsing by Author "Candila, Vincenzo"
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A comparison of the forecasting performances of multivariate volatility models
Candila, Vincenzo (2013)The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, ... -
Evaluation of volatility forecasts
Candila, Vincenzo (Universita degli studi di Salerno, 2014-03-05)The modelization of risk is a hard task for many financial institutions. This explains the great interest for the volatility models during last decades. In this framework, the volatility predictions deriving from a set of ...