How to Compare Copula Forecasts?

DOI10.1080/07350015.2025.2602855MaRDI QIDQ7405260zbMATH OpenFDO

Authors Tobias Fissler, Yannick Hoga

Publication date 2026

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2025.2602855

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A survey on time-varying copulas: specification, simulations, and application
• Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
• Combining predictive distributions
• Comparing Possibly Misspecified Forecasts
• Copula calibration
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Higher order elicitability and Osband's principle
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3930202 (Why is no real title available?)
• Making and evaluating point forecasts
• Modelling asymmetric exchange rate dependence
• Multivariate GARCH models for large-scale applications: a survey
• On elicitable risk measures
• On loss functions and ranking forecasting performances of multivariate volatility models
• Order-sensitivity and equivariance of scoring functions
• Out-of-sample comparison of copula specifications in multivariate density forecasts
• P Values Maximized Over a Confidence Set for the Nuisance Parameter
• Quantitative risk management. Concepts, techniques and tools
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability
• The mode functional is not elicitable

This page was built for publication: How to Compare Copula Forecasts?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7405260)