Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework

By José A. López, C. Walter. 2000

73 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/13cdc23b53c6bb8d8163b19f490cf890f08025c1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. N. Shephard
2. Miguel A. Segoviano

In Finance

1. Siddhartha Chib
2. N. Shephard
3. Federico Nardari
4. Miguel A. Segoviano
5. Ole E. Barndorff-Nielsen
6. V. Todorov
7. Mark J. Jensen
8. Tim Bollerslev

Citations in the corpus

• Eurozone sovereign contagion: Evidence from the CDS market (2005–2010) (2012, unknown): “Moreover, several studies (Lopez and Walter, 2000; Ferreira and Lopez, 2005) suggested that models based on the Exponentially Weighted Moving Average (EWMA) perform quite well and can be used instead of other more complex methods.”
• Analysis of high dimensional multivariate stochastic volatility models (2006, background): “coverage tests along the lines of Lopez and Walter (2001) .”
• Consistent information multivariate density optimizing methodology (2006, background): “The univariate restrictions, defined in equation (46), can be expressed as restrictions imposed on the multivariate densities’ marginals.”