We propose a methodological approach to the forecast and evaluation of multivariate distributions with time varying parameters. For reasons related to feasible inference attention is restricted to meta-elliptical distributions. We use our approach for the study of a large data set of 16 commodity prices. Our approach leads to a theory for model validation avoiding common problems caused by discontinuities, time variation of parameters and nuisance parameters
To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.