Out-of-sample comparison of copula specifications in multivariate density forecasts

DOI10.1016/J.JEDC.2010.06.021zbMath1231.91376OpenAlexW2132874634MaRDI QIDQ602854

Sumit K. Garg

Publication date: 5 November 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.06.021

zbMATH Keywords

empirical copulaKullback-Leibler information criterioncopula-based density forecastout-of-sample forecast evaluationsemi-parametric statistics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; economic indices and measures (91B82)

Related Items (6)

On the robustness of portfolio allocation under copula misspecification ⋮ Modeling multivariate cybersecurity risks ⋮ Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas ⋮ Estimating dynamic copula dependence using intraday data ⋮ Copula calibration ⋮ Comparing the accuracy of multivariate density forecasts in selected regions of the copula support

Uses Software

• KLIC

Cites Work

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