Volatility Forecasts Evaluation and Comparison : A Survey

F. Violante, S.F.J.A. Laurent

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic


Introduction notation single forecast evaluation loss functions and the latent variable problem pairwise comparison multiple comparison consistency of the ordering and inference on forecast performances conclusion.
Original languageEnglish
Title of host publicationHandbook on Volatility Models and their Applications
EditorsL. Bauwens, C. Hafner, S. Laurent
Place of PublicationLondon
PublisherJohn Wiley & Sons Inc.
ISBN (Print)978-0-470-87251-2
Publication statusPublished - 1 Jan 2012

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