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On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
Laurent, Sébastien; Rombouts, Jeroen; Violente, Francesco
Issue Date : 2009-11

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
Rombouts, Jeroen; Stentoft, Lars Peter; Violente, Francesco
Issue Date : 2012-02

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