Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange /
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 und...
Gespeichert in:
- Weitere Titel:
- Real-Time Multivariate Density Forecast Evaluation and Calibration
- 1. Verfasser:
- Körperschaft:
- Weitere Verfasser:
- ,
- Format:
- Elektronisch E-Book
- Sprache:
- Englisch
- Veröffentlicht:
-
Cambridge, Mass.
National Bureau of Economic Research
1998.
- Zusammenfassung:
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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 under which a technique of density forecast forecasts. Finally by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts.
- Umfang:
- 1 online resource: illustrations (black and white);
- Anmerkungen:
- December 1998.
- Schlagworte: