On the Economic Evaluation of Volatility Forecasts
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- Massimiliano Caporin & Michael McAleer, 2011.
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- Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
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More about this item
Keywords
Forecast evaluation; Volatility forecasting; Portfolio optimization; Mean-variance analysis;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-12-05 (Econometrics)
- NEP-FOR-2009-12-05 (Forecasting)
- NEP-ORE-2009-12-05 (Operations Research)
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