Evaluating Volatility and Correlation Forecasts.
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...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Oxford-Man Institute of Quantitative Finance
2007
|