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Biblio

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Filtres: Auteur est Francesco Violante  [Clear All Filters]
2017
Weak Diffusion Limits of Dynamic Conditional Correlation ModelsJournal articleChristian M. Hafner, Sébastien Laurent et Francesco Violante, Econometric Theory, Volume 33, Issue 03, pp. 691-716, 2017
2013
On loss functions and ranking forecasting performances of multivariate volatility modelsJournal articleSébastien Laurent, Jeroen V. K. Rombouts et Francesco Violante, Journal of Econometrics, Volume 173, Issue 1, pp. 1-10, 2013
2012
On the forecasting accuracy of multivariate GARCH modelsJournal articleSébastien Laurent, Jeroen V. K. Rombouts et Francesco Violante, Journal of Applied Econometrics, Volume 27, Issue 6, pp. 934-955, 2012
Volatility forecasts evaluation and comparisonJournal articleSébastien Laurent et Francesco Violante, Wiley Interdisciplinary Reviews: Computational Statistics, Volume 4, Issue 1, pp. 1-12, 2012