Asymm {StatPerMeCo} | R Documentation |
Asymmetric loss function
Description
Compute the asymmetric loss function between the matrices S and H. See, Laurent et al. (2012) and Amendola et al. (2015).
Usage
Asymm(S, H, b = 3)
Arguments
S |
Proxy for the conditional covariance/correlation matrix |
H |
Estimate of the conditional covariance/correlation matrix. |
b |
Degree of homogeneity. By default b=3 |
Author(s)
Carlos Trucios
References
Amendola, A., & Storti, G. (2015). Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction. Journal of Forecasting, 34(2), 83-91.
Laurent, S., Rombouts, J. V., & Violante, F. (2012). On the forecasting accuracy of multivariate GARCH models. Journal of Applied Econometrics, 27(6), 934-955.
Examples
X = matrix(rnorm(4000),ncol=4)
S = diag(4)
H = cov(X)
Asymm(S,H,b=3)
[Package StatPerMeCo version 0.1.0 Index]