Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
Year of publication: |
2014
|
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Authors: | Diks, Cees G. H. ; Panchenko, Valentyn ; Sokolinskiy, Oleg ; Dijk, Dick van |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 48.2014, p. 79-94
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Subject: | Copula | Density forecast evaluation | Kullback-Leibler Information Criterion | Out-of-sample forecast evaluation | Theorie | Theory | Prognoseverfahren | Forecasting model | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Monte-Carlo-Simulation | Monte Carlo simulation |
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