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Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support
Diks, Cees G. H.; Panchenko, Valentyn; Sokolinskiy, Oleg; … - 2013
Persistent link: https://www.econbiz.de/10009756306
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Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2011
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10014047091
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - In: Journal of economic dynamics & control 34 (2010) 9, pp. 1596-1609
Persistent link: https://www.econbiz.de/10009125848
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003798233
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Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003787159
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10011377261
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Localizing strictly proper scoring rules supplementary material on localizing strictly proper scoring rules
Punder, Ramon de; Diks, Cees G. H.; Laeven, Roger J. A.; … - In: CeNDEF working paper (2023) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10014377691
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Forecasting volatility with Copula-based time series models
Sokolinskiy, Oleg; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720755
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[Rezension von: Mills, Terence C., The econometric modelling of financial time series]
Dijk, Dick van - In: De economist : Netherlands economic review ; quarterly … 148 (2000) 3, pp. 412-413
Persistent link: https://www.econbiz.de/10001508942
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Testing for ARCH in the presence of addiative outliers
Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of applied econometrics 14 (1999) 5, pp. 539-562
Persistent link: https://www.econbiz.de/10001421498