Multiple Model Comparison and Hypothesis Framework Construction

Stavros Degiannakis and Christos Floros

Chapter 4 in Modelling and Forecasting High Frequency Financial Data, 2015, pp 110-160 from Palgrave Macmillan

Abstract: Abstract Any loss function is a measure of accuracy, constructed upon the goals of its particular appliance. However, in the majority of cases, the statistical properties of the loss, or evaluation, functions are unknown. In the financial forecasting literature, the superiority of a loss function against others is not judged by a statistical-theoretical ground but from their empirical motivations. In the present chapter, volatility forecasting evaluation frameworks based on the statistical background are illustrated.

Keywords: Prediction Error; Loss Function; Conditional Variance; Arch Model; Volatility Forecast (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-39649-5_4

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DOI: 10.1057/9781137396495_4

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