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Displaying 10 results.
    • WorkingPaper
    On the Forecasting Accuracy of Multivariate GARCH Models
    Laurent, Sébastien Rombouts, Jeroen Violante, Francesco[FUNDP] (2010)
    • WorkingPaper
    Consistent ranking of multivariate volatility models.
    Laurent, Sébastien[UCL] Rombouts, Jeroen Violante, Francesco[FUNDP] (2009)
    • Dissertation
    Essays on Multivariate Volatility Forecasting
    Violante, Francesco[FUNDP] (2010)
    • Journal article
    Weak Diffusion Limits of Dynamic Conditional Correlation Models
    Hafner, Christian[UCL] Laurent, Sebastien Violante, Francesco (2017) Econometric Theory — Vol. 33, p. 691-716 (2017)
    • WorkingPaper
    Weak Diffusion Limits of Dynamic Conditional Correlation Models
    Hafner, Christian[UCL] Laurent, Sébastien Violante, Francesco (2016)
    • Journal article
    On the forecasting accuracy of multivariate GARCH models
    Laurent, Sébastien[UCL] Rombouts, Jeroen[UCL] Violante, Francesco[UCL] (2012) Journal of Applied Econometrics — Vol. 27, no. 6, p. 934-955 (2012)
    • Journal article
    On loss functions and ranking forecasting performances of multivariate volatility models
    Laurent, Sébastien[UCL] Rombouts, Jeroen V.K. Violante, Francesco[UCL] (2013) Journal of Econometrics — Vol. 173, no. 1, p. 1-10 (2013)
    • WorkingPaper
    Dynamic conditional correlation models for realized covariance matrices
    Bauwens, Luc[UCL] Storti, Giuseppe Violante, Francesco (2012)
    • WorkingPaper
    The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options
    Rombouts, Jeroen Stentoft, Lars Violante, Francesco[UCL] (2012)
    • Journal article
    Volatility forecasts evaluation and comparison
    Laurent , Sébastien Violante, Francesco (2012) WIREs Computational Statistics — Vol. 4, no. 1, p. 1-12 (2012)