TY  - RPRT
AU  - Caporin, Massimiliano
AU  - McAleer, Michael
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/49009
AB  - In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared inthe literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical...
LA  - eng
KW  - Covariance forecasting
KW  - Model confidence set
KW  - Model ranking
KW  - MGARCH
KW  - Model comparison.
TI  - Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation
TY  - technical report
VL  - 2011
ER  -