A Test Procedure for Evaluating Copula-Based Multivariate Density Forecasts

We propose a new approach to evaluating copula-based multivariate density forecasts. Employing Hansen’s SPA test and conducting multiple comparisons of fully-parametric models, our approach accommodates possible misspecifications in the multivariate joint and the univariate marginal distribution. Applying the approach to exchange rate data, we show the Frank copula outperforms others in most cases

MoreLess

Year of publication:	2009
Authors:	Li, Xiaoming ; Xu, Qing
Publisher:	[S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Statistische Verteilung \| Statistical distribution \| Multivariate Verteilung \| Multivariate distribution \| Statistischer Test \| Statistical test

Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 25, 2009 erstellt
Other identifiers:	10.2139/ssrn.1413453 [DOI]
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014207462