Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Diebold, Francis X. | - |
dc.contributor.author | Hahn, Jinyong | - |
dc.contributor.author | Tay, Anothony S. | - |
dc.date.accessioned | 2008-05-29T18:52:47Z | - |
dc.date.available | 2008-05-29T18:52:47Z | - |
dc.date.issued | 1998-08-26 | - |
dc.identifier.uri | http://hdl.handle.net/2451/27077 | - |
dc.description.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. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | FIN-98-079 | en |
dc.title | Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange | en |
dc.type | Working Paper | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
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wpa98079.pdf | 1.14 MB | Adobe PDF | View/Open |
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