Skip to main content
Article thumbnail
Location of Repository

Forecasting Using Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices

By Alessio Sancetta and Arina Nikanrova

Abstract

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

Topics: Classification-JEL: C14, C16, C31, C32, Commodity Prices, Copula Function, Meta-Elliptical Distribution, Nonparametric Estimation, Weibull Distribution.
Publisher: Faculty of Economics
Year: 2006
OAI identifier: oai:www.repository.cam.ac.uk:1810/131621
Provided by: Apollo

Suggested articles


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.