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Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange / Francis X. Diebold, Jinyong Hahn, Anthony S. Tay.
- Format:
- Book
- Author/Creator:
- Diebold, Francis X.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w6845.
- NBER working paper series no. w6845
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Real-Time Multivariate Density Forecast Evaluation and Calibration
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1998.
- Summary:
- 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 forecasts. Finally by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts.
- Notes:
- Print version record
- December 1998.
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