Stern School of Business >
IOMS: Statistics Working Papers >
Please use this identifier to cite or link to this item:
|Title: ||REAL-TIME MULTIVARIATE DENSITY FORECAST EVALUATION AND CALIBRATION: MONITORlNG THE RISK OF HIGH-FREQUENCY RETURNS ON FOREIGN EXCHANGE|
|Authors: ||Diebold, Francis X.|
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
|Appears in Collections:||IOMS: Statistics Working Papers|
Items in Faculty Digital Archive are protected by copyright, with all rights reserved, unless otherwise indicated.