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Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation

Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
Digital文書・図像類
Caporin, Massimiliano, McAleer, MichaelInstitute of Economic Research, Kyoto University2011-06KIER Discussion Paper778
Available onlineOther Libraries in Japan
  • Subject HeadingCovariance forecasting model confidence set model ranking MGARCH model co...

Robust Ranking of Multivariate GARCH Models by Problem Dimension

Robust Ranking of Multivariate GARCH Models by Problem Dimension
Digital文書・図像類
McAleer, Michael, Caporin, MassimilianoInstitute of Economic Research, Kyoto University2012-04KIER Discussion Paper815
Available onlineOther Libraries in Japan
  • Summary, etc.... including the Model Confidence Set. Third, we examine how the ro...
  • Subject HeadingCovariance forecasting model confidence set robust model ranking MGARCH r...

Ranking Multivariate GARCH Models by Problem Dimension

Ranking Multivariate GARCH Models by Problem Dimension
Paper文書・図像類
Caporin, Massimiliano, McAleer, Michael日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-742
Other Libraries in Japan
  • Subject HeadingCovariance forecasting model confidence set model ranking MGARCH model co...

Model Selection and Testing of Conditional and Stochastic Volatility Models

Model Selection and Testing of Conditional and Stochastic Volatility Models
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-09KIER Discussion Paper724
Available onlineOther Libraries in Japan
  • Summary, etc....ared error and Model Confidence Set approaches. The paper develop...
  • Subject Heading...-nested models model confidence set Value-at-Risk forecasts asymm...

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