Out-of-sample comparison of copula specifications in multivariate density forecasts (Q602854)
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scientific article; zbMATH DE number 5810857
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| English | Out-of-sample comparison of copula specifications in multivariate density forecasts |
scientific article; zbMATH DE number 5810857 |
Statements
Out-of-sample comparison of copula specifications in multivariate density forecasts (English)
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5 November 2010
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copula-based density forecast
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empirical copula
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Kullback-Leibler information criterion
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out-of-sample forecast evaluation
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semi-parametric statistics
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0.8522976636886597
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0.7725224494934082
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0.764145016670227
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0.7570269107818604
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0.7559208869934082
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