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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, the ...
EleA themes by Ugsiba
 

 

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Author
Candila, Vincenzo (1)
SubjectLoss function (1)Multivariate GARCH (1)
Volatility (1)
... View MoreDate Issued2013 (1)Has File(s)Yes (1)
EleA themes by Ugsiba