On loss functions and ranking forecasting performances of multivariate volatility models

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is substituted by a proxy, the ordering implied by a loss function may be biased with respect to the intended one. We point out that the size of the distortion is strictly tied to the lev...

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Veröffentlicht in:	Journal of econometrics 2013-03, Vol.173 (1), p.1-10
Hauptverfasser:	Laurent, Sébastien, Rombouts, Jeroen V.K., Violante, Francesco
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic forecasting Foreign exchange rates Loss function Matrix norm Model confidence set Multivariate analysis Multivariate GARCH Studies Volatility
Online-Zugang:	Volltext
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