Similar Search Results - EconBiz

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

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

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

Rank-based entropy tests for serial independence

Diks, Cees G. H.; Panchenko, Valentyn - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10009513640

Likelihood-based scoring rules for comparing density forecasts in tails

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - In: Journal of econometrics 163 (2011) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10009270608

A new statistic and practical guidelines for nonparametric Granger causality testing

Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669

Persistent link: https://www.econbiz.de/10003370351

Partial liklihood-based scoring rules for evaluating density forecasts in tails

Diks, Cees G. H. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003798183

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003798233

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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