Robust ranking of multivariate GARCH models by problem dimension

DOI10.1016/J.CSDA.2012.05.012zbMath1506.62033OpenAlexW2051104076MaRDI QIDQ1623519

Massimiliano Caporin, Michael McAleer

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://www.kier.kyoto-u.ac.jp/DP/DP815.pdf

zbMATH Keywords

MGARCHmodel confidence setcovariance forecastingrobust model comparisonrobust model ranking

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (6)

Forecasting financial market volatility using a dynamic topic model ⋮ The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ An application of copulas to OPEC’s changing influence on fossil fuel prices ⋮ Bayesian inference of multivariate-GARCH-BEKK models ⋮ Unrestricted, restricted, and regularized models for forecasting multivariate volatility ⋮ Comparison of value-at-risk models using the MCS approach

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• Asymptotic Inference about Predictive Ability
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