Title: | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
Authors: | Diebold, Francis X. Hahn, Jinyong Tay, Anothony S. |
Issue Date: | 26-Aug-1998 |
Series/Report no.: | FIN-98-079 |
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/2451/27077 |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
wpa98079.pdf | 1.14 MB | Adobe PDF | View/Open |
Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.