Multivariate density forecast evaluation and calibration in financial risk management: High-frequency returns on foreign exchange

• Main Authors: Diebold, Francis X., Hahn, Jinyong, Tay, Anthony S.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1999
• Subjects: Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/104; https://ink.library.smu.edu.sg/context/soe_research/article/1103/viewcontent/MultivariateDensityForecastEval_1999_RES.pdf
• Institution: Singapore Management University

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under...