On the efficacy of techniques for evaluating multivariate volatility forecasts

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.

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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.

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ID Code: 54186
Item Type: Conference Paper
Refereed: Yes
Keywords: Multivariate volatility , forecasts, forecast evaluation, model confidence set
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 16 Oct 2012 23:11
Last Modified: 12 Jun 2013 15:14

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