The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange
Open accessAbstract
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, and we show how the calibration method can be used to generate good density forecasts from econometric models, even when the conditional density is unknown. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts.
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Citations
Cites
Gelman, A., Carlin, J. B., Stern, H. S., & Rubin, D. B. (2003) · doi:10.1201/9780429258480 · Cited by 27,276
Dawid, A. P. (1984) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2981683 · Cited by 1,085 · cited 1×
“The closely related ‘‘prequential’’Bayesian literature (Dawid, 1984) also features density forecasts prominently.”
Background
Cited by
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Patton, A. J. (2006) · International Economic Review · doi:10.1111/j.1468-2354.2006.00387.x · Cited by 2,112
Multivariate GARCH models: a survey
Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.842 · Cited by 2,045
Rossi, B. (2013) · Journal of Economic Literature · doi:10.1257/jel.51.4.1063 · Cited by 649
A review of copula models for economic time series
Patton, A. J. (2012) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2012.02.021 · Cited by 584
Hendry, D. F., & Clements, M. P. (2004) · The Econometrics Journal · doi:10.1111/j.1368-423x.2004.00119.x · Cited by 466
Metadata
- Authors
- Diebold, F. X., Hahn, J., & Tay, A. S.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press
- Published
- 1999-11
- Volume
- 81
- Issue
- 4
- Pages
- 661-673
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2125407925
- Cited by
- 343
- References
- 2
- FWCI
- 14.36
- Type
- journal article
- Language
- en
- Open access
- green
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- Diebold, F. X., Hahn, J., & Tay, A. S. (1999). Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange. Review of Economics and Statistics. https://doi.org/10.1162/003465399558526
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
