Multivariate density forecast evaluation and calibration in financial risk management: High-frequency returns on foreign exchange
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1999
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |