Comparing the accuracy of multivariate density forecasts in selected regions of the copula support

DOI10.1016/J.JEDC.2014.08.021MaRDI QIDQ1991935zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 2 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2014.08.021

zbMATH Keywords

copuladensity forecast evaluationKullback-Leibler information criterionout-of-sample forecast evaluation

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Out-of-sample comparison of copula specifications in multivariate density forecasts
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• Likelihood-based scoring rules for comparing density forecasts in tails
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• Predictive density and conditional confidence interval accuracy tests

Cites work

• A review of copula models for economic time series
• An introduction to copulas.
• Asymptotic Inference about Predictive Ability
• Construction of asymmetric multivariate copulas
• Copula–Based Models for Financial Time Series
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Likelihood-based scoring rules for comparing density forecasts in tails
• Model selection tests for nonlinear dynamic models
• Multivariate GARCH Models
• Multivariate Stochastic Volatility
• Out-of-sample comparison of copula specifications in multivariate density forecasts
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Statistical methods in finance
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability
• The Model Confidence Set
• The Stationary Bootstrap

Cited in

(4)

• Estimating dynamic copula dependence using intraday data
• Out-of-sample comparison of copula specifications in multivariate density forecasts
• Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
• Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings

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