TY  - RPRT
AU  - Caporin, Massimiliano
AU  - McAleer, Michael
PY  - 2012
UR  - https://hdl.handle.net/20.500.14352/49081
AB  - During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an empirical...
LA  - eng
KW  - Covariance forecasting
KW  - Model confidence set
KW  - Robust model ranking
KW  - MGARCH
KW  - Robust model comparison.
TI  - Robust Ranking of Multivariate GARCH Models by Problem Dimension
TY  - technical report
VL  - 2012
ER  -