On the efficacy of techniques for evaluating multivariate volatility forecasts
Contribuinte(s) |
Ulubasoglu, Mehmet Kidd, Michael |
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Data(s) |
03/07/2012
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Resumo |
The performance of techniques for evaluating multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper aims to evaluate the efficacy of a range of traditional statistical-based methods for multivariate forecast evaluation together with methods based on underlying considerations of economic theory. It is found that a statistical-based method based on likelihood theory and an economic loss function based on portfolio variance are the most effective means of identifying optimal forecasts of conditional covariance matrices. |
Identificador | |
Relação |
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=ESAM2012&paper_id=239 Clements, Adam, Doolan, Mark, Hurn, Stan, & Becker, Ralf (2012) On the efficacy of techniques for evaluating multivariate volatility forecasts. In Ulubasoglu, Mehmet & Kidd, Michael (Eds.) Econometric Society Australasian Meeting (ESAM12), 3-6 July 2012, Langham Hotel, Melbourne, VIC. |
Fonte |
QUT Business School; School of Economics & Finance |
Palavras-Chave | #Multivariate volatility #forecasts #forecast evaluation #model confidence set |
Tipo |
Conference Paper |