Generalized autocontours : evaluation of multivariate density models
Year of publication: |
July-September 2015
|
---|---|
Authors: | González-Rivera, Gloria ; Sun, Yingying |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 31.2015, 3, p. 799-814
|
Subject: | Copula | Specification testing | Multivariate dynamic models | Density forecast | Statistische Verteilung | Statistical distribution | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis |
-
Multivariate dynamic Copula models : parameter estimation and forecast evaluation
Aepli, Matthias Daniel, (2015)
-
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew, (2010)
-
Evaluating density forecasts using weighted multivariate scores in a risk management context
Cheng, Jie, (2024)
- More ...
-
Density forecast evaluation in unstable environments
González-Rivera, Gloria, (2017)
-
Density Forecast Evaluation in Unstable Environments
Gonzalez-Rivera, Gloria, (2014)
-
Generalized Autocontours: Evaluation of Multivariate Density Models
Gonzalez-Rivera, Gloria, (2014)
- More ...