Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - In: The Review of Economics and Statistics 81 (1999) 4, pp. 661-673
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...