Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2124"
  #_source: array:26 [
    "id" => "2124"
    "slug" => "on-loss-functions-and-ranking-forecasting-performances-of-multivariate-volatility-models"
    "yearMonth" => "2013-03"
    "year" => "2013"
    "title" => "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models"
    "description" => "LAURENT, G., ROMBOUTS, J. et VIOLANTE, F. (2013). On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models. <i>Journal of Econometrics</i>, 173(1), pp. 1-10."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "LAURENT Gilles"
        "bid" => "B00770447"
        "slug" => "laurent-gilles"
      ]
      1 => array:3 [
        "name" => "ROMBOUTS Jeroen"
        "bid" => "B00469813"
        "slug" => "rombouts-jeroen"
      ]
      2 => array:1 [
        "name" => "VIOLANTE Francesco"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:5 [
      0 => "Volatility"
      1 => "Multivariate GARCH"
      2 => "Matrix norm"
      3 => "Loss function"
      4 => "Model confidence set"
    ]
    "updatedAt" => "2021-02-02 16:16:18"
    "publicationUrl" => "https://doi.org/10.1016/j.jeconom.2012.08.004"
    "publicationInfo" => array:3 [
      "pages" => "1-10"
      "volume" => "173"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is substituted by a proxy, the ordering implied by a loss function may be biased with respect to the intended one. We point out that the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized necessary and sufficient functional form for a class of non-metric distance measures of the Bregman type which ensure consistency of the ordering when the target is observed with noise. An application to three foreign exchange rates is provided."
      "en" => "The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is substituted by a proxy, the ordering implied by a loss function may be biased with respect to the intended one. We point out that the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized necessary and sufficient functional form for a class of non-metric distance measures of the Bregman type which ensure consistency of the ordering when the target is observed with noise. An application to three foreign exchange rates is provided."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-03T16:21:42.000Z"
    "docTitle" => "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/laurent-gilles">LAURENT Gilles</a>, <a href="/cv/rombouts-jeroen">ROMBOUTS Jeroen</a>, VIOLANTE Francesco"
    "docDescription" => "<span class="document-property-authors">LAURENT Gilles, ROMBOUTS Jeroen, VIOLANTE Francesco</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2013</span>"
    "keywordList" => "<a href="#">Volatility</a>, <a href="#">Multivariate GARCH</a>, <a href="#">Matrix norm</a>, <a href="#">Loss function</a>, <a href="#">Model confidence set</a>"
    "docPreview" => "<b>On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models</b><br><span>2013-03 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.jeconom.2012.08.004" target="_blank">On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.422003
  +"parent": null
}