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dc.contributor.authorDiebold, Francis X.-
dc.contributor.authorHahn, Jinyong-
dc.contributor.authorTay, Anothony S.-
dc.date.accessioned2008-05-29T18:52:47Z-
dc.date.available2008-05-29T18:52:47Z-
dc.date.issued1998-08-26-
dc.identifier.urihttp://hdl.handle.net/2451/27077-
dc.description.abstractWe 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.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-98-079en
dc.titleReal-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchangeen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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