Pages that link to "Item:Q528161"
From MaRDI portal
The following pages link to On loss functions and ranking forecasting performances of multivariate volatility models (Q528161):
Displaying 25 items.
- Consistent ranking of volatility models (Q292007) (← links)
- Volatility forecast comparison using imperfect volatility proxies (Q737280) (← links)
- The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147) (← links)
- Variance clustering improved dynamic conditional correlation MGARCH estimators (Q1623552) (← links)
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach (Q1659128) (← links)
- Asset allocation with correlation: a composite trade-off (Q1683161) (← links)
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (Q2008095) (← links)
- Comparing unconstrained parametrization methods for return covariance matrix prediction (Q2084329) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Multivariate leverage effects and realized semicovariance GARCH models (Q2190232) (← links)
- Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
- A robust spectral method for solving Heston's model (Q2247922) (← links)
- Improving forecasts with the co-range dynamic conditional correlation model (Q2338532) (← links)
- A multivariate volatility vine copula model (Q5034252) (← links)
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices (Q6064131) (← links)
- Can we estimate macroforecasters' mis-behavior? (Q6109933) (← links)
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility (Q6138238) (← links)
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective (Q6150535) (← links)
- Using proxies to improve forecast evaluation (Q6179125) (← links)
- On Testing Equal Conditional Predictive Ability Under Measurement Error (Q6190333) (← links)
- Combining <i>p</i>-values for Multivariate Predictive Ability Testing (Q6190690) (← links)
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach (Q6586883) (← links)
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings (Q6617825) (← links)
- Empirical risk minimization for time series: nonparametric performance bounds for prediction (Q6664628) (← links)
