Sfoglia per Soggetto "Loss function"

Items 1-2 di 2

    • 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 ...