Volatility Forecasts Evaluation and Comparison : A Survey

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

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic

Abstract

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
Pages465-485
ISBN (Print)978-0-470-87251-2
DOIs
Publication statusPublished - 1 Jan 2012

Cite this

Violante, F., & Laurent, S. F. J. A. (2012). Volatility Forecasts Evaluation and Comparison : A Survey. In L. Bauwens, C. Hafner, & S. Laurent (Eds.), Handbook on Volatility Models and their Applications (pp. 465-485). John Wiley & Sons. https://doi.org/10.1002/9781118272039.ch19