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• W1561391711 abstract "Techniques for evaluating and selecting multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper considers the ability of dierent loss functions to discriminate between a competing set of forecasting models which are subsequently applied in a portfolio allocation context. It is found that a likelihood based loss function outperforms it competitors including those based on the given portfolio application. This result indicates that the particular application of forecasts is not necessarily the most eective approach under which to select models." @default.
• W1561391711 created "2016-06-24" @default.
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• W1561391711 date "2012-08-09" @default.
• W1561391711 modified "2023-09-27" @default.
• W1561391711 title "Selecting forecasting models for portfolio allocation" @default.
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