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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/14780

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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