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

By Alessio Sancetta and Arina Nikanrova


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
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Provided by: Apollo

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