search query: @author Diebold, F. / total: 5
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| Author: | Diebold, F. Hahn, J. Tay, A. |
| Title: | Multivariate density forecast evaluation and calibration in financial risk management: high-frequency returns on foreign exchange |
| Journal: | Review of Economics and Statistics
1999 : NOV, VOL. 81:4, p. 661-673 |
| Index terms: | STATISTICS ECONOMICS FINANCIAL RISK MANAGEMENT |
| Language: | eng |
| Abstract: | The authors provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate frame lets the authors evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. The authors also provide conditions under which a technique of density forecast "calibration" can be used to improve deficient density forecasts, and they show how the calibration method can be used to generate good density forecasts from econometric models. |
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