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.
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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|Item Type:||Conference Paper|
|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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