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Multivariate Density Forecast Evaluation and Calibration

By Francis X. Diebold, Jinyong Hahn and Anthony S. Tay

Abstract

educational and research purposes, so long as it is not altered, this copyright notice is reproduced with it, and it is not sold for profit. Abstract: 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 “calibration ” can be used to improve deficient density forecasts. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate highfrequency exchange rate density forecasts

Year: 1999
OAI identifier: oai:CiteSeerX.psu:10.1.1.352.8181
Provided by: CiteSeerX
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