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Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - Finance Department, Stern School of Business - 1998

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...

Persistent link: https://www.econbiz.de/10005663503

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - Financial Institutions Center, Wharton School of Business - 1998

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...

Persistent link: https://www.econbiz.de/10005742707

Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange

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...

Persistent link: https://www.econbiz.de/10005697386

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1998

Persistent link: https://www.econbiz.de/10000998139

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

Persistent link: https://www.econbiz.de/10000682409

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1999

Persistent link: https://www.econbiz.de/10001426216

Multivariate density forecast evaluation and calibration in financial risk management : high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - In: The review of economics and statistics 81 (1999) 4, pp. 661-673

Persistent link: https://www.econbiz.de/10001437391

REAL-TIME MULTIVARIATE DENSITY FORECAST EVALUATION AND CALIBRATION: MONITORING THE RISK OF HIGH-FREQUENCY RETURNS ON FOREIGN EXCHANGE

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

Persistent link: https://www.econbiz.de/10006990632

SYMPOSIUM ON FORECASTING AND EMPIRICAL METHODS IN MACROECONOMICS AND FINANCE - Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High-Frequency...

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

Persistent link: https://www.econbiz.de/10006387538

Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X. - 1998

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...

Persistent link: https://www.econbiz.de/10012471967

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