On loss functions and ranking forecasting performances of multivariate volatility models
type: Item
instance of: scholarly article
title: On loss functions and ranking forecasting performances of multivariate volatility models
zbMATH Open document ID: 1443.62359
author: Jeroen V. K. Rombouts
author: Francesco Violante
author: Sébastien Laurent
published in: Journal of Econometrics
publication date: 2017-05-12T00:00:00Z
full work available at URL: https://depot.erudit.org/id/003158dd
full work available at URL: S0304407612001777
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6714819
zbMATH Keywords: volatility
zbMATH Keywords: multivariate GARCH
zbMATH Keywords: matrix norm
zbMATH Keywords: loss function
zbMATH Keywords: model confidence set
describes a project that uses: Ox
MaRDI profile type: Publication
OpenAlex ID: W3022085142
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DOI: 10.1016/J.JECONOM.2012.08.004
description: scientific article; zbMATH DE number 6714819