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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/14780
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| Title: | REAL-TIME MULTIVARIATE DENSITY FORECAST EVALUATION AND CALIBRATION:
MONITORlNG THE RISK OF HIGH-FREQUENCY RETURNS ON FOREIGN EXCHANGE |
| Authors: | Diebold, Francis X.
Hahn, Jinyong
Tay, Anthony S. |
| Issue Date: | Dec-1998 |
| Publisher: | Stern School of Business, New York University |
| Series/Report no.: | SOR-98-7 |
| 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
high-frequency exchange rate density forecasts. |
| URI: | http://hdl.handle.net/2451/14780 |
| Appears in Collections: | IOMS: Statistics Working Papers
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