In this paper we propose a new battery of test statistics for dynamic specification and density functional form in a wide range of multivariate time series models including linear and non-linear VAR specifications with multivariate GARCH disturbances. The tests are applied to the vector of...

We propose a new battery of dynamic specification tests for the joint hypothesis of iid-ness and density function based on the fundamental properties of independent random variables with identical distributions. We introduce a device — the autocontour — whose shape is very sensitive to...

We contribute to the rather thin literature on multivariate density forecasts by introducing a new framework for out-of-sample evaluation of multivariate density forecast models that builds upon the concept of autocontour proposed by Gonzalez-Rivera et al. (2011). This approach uniquely combines...