Publication Type
Journal Article
Version
publishedVersion
Publication Date
11-1999
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, 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. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog
Discipline
Econometrics | Finance
Research Areas
Econometrics
Publication
Review of Economics and Statistics
Volume
81
Issue
4
First Page
661
Last Page
673
ISSN
0034-6535
Identifier
10.1162/003465399558526
Publisher
MIT Press
Citation
Diebold, Francis X.; Hahn, Jinyong; and Tay, Anthony S..
Multivariate density forecast evaluation and calibration in financial risk management: High-frequency returns on foreign exchange. (1999). Review of Economics and Statistics. 81, (4), 661-673.
Available at: https://ink.library.smu.edu.sg/soe_research/104
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1162/003465399558526