Publication Type

Journal Article

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

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1162/003465399558526

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