This paper considers the problem of evaluation and comparison of univariate and multivariate volatility forecasts, with explicit attention paid to the fact that in such applications the object of interest is unobservable, even ex post. Thus the evaluation and comparison of volatility forecasts must rely on direct or indirect methods of overcoming this difficulty. Direct methods use a “volatility proxy”, i.e. some observable variable that is related to the latent variable of interest. We will ...Expand abstract
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Evaluating Volatility and Correlation Forecasts.
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