Comparing the accuracy of multivariate density forecasts in selected regions of the copula support

DOI10.1016/j.jedc.2014.08.021zbMath1402.62111OpenAlexW1972251748MaRDI QIDQ1991935

Yanyan Li

Publication date: 2 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.08.021

zbMATH Keywords

copuladensity forecast evaluationKullback-Leibler information criterionout-of-sample forecast evaluation

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions ⋮ Estimating dynamic copula dependence using intraday data

Cites Work

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• Statistical methods in finance
• Multivariate GARCH Models
• Multivariate Stochastic Volatility
• Copula–Based Models for Financial Time Series
• The Stationary Bootstrap
• Model selection tests for nonlinear dynamic models
• Asymptotic Inference about Predictive Ability
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection

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