Volatility Forecasts Evaluation and Comparison : A Survey

F. Violante; S.F.J.A. Laurent

doi:10.1002/9781118272039.ch19

Volatility Forecasts Evaluation and Comparison : A Survey

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

Quantitative Economics

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic

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 language	English
Title of host publication	Handbook on Volatility Models and their Applications
Editors	L. Bauwens, C. Hafner, S. Laurent
Place of Publication	London
Publisher	John Wiley & Sons Inc.
Pages	465-485
Number of pages	22
ISBN (Print)	978-0-470-87251-2
DOIs	https://doi.org/10.1002/9781118272039.ch19
Publication status	Published - 1 Jan 2012

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Volatility Forecasts Evaluation and Comparison : A Survey

Abstract

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