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~person:"Combs, Cindy C."
~person:"Diebold, Francis X."
~source:"econis"
~source:"usbk"
~subject:"Estimation theory"
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Estimation theory
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Combs, Cindy C.
Diebold, Francis X.
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31
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18
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1
Optimal Prediction Under Asymmetric Loss
Christoffersen, Peter
;
Diebold, Francis X.
-
2021
illustrate the results by
forecasting
the GARCH(1,1) process which, although white noise, is non-trivially forecastable under …
Persistent link: https://www.econbiz.de/10013310827
Saved in:
2
Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange
Diebold, Francis X.
;
Hahn, Jinyong
;
Tay, Anthony S.
-
2021
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...
Persistent link: https://www.econbiz.de/10013239958
Saved in:
3
Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.
;
Hahn, Jinyong
;
Tay, Anthony S. A.
-
1999
Persistent link: https://www.econbiz.de/10001426216
Saved in:
4
Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange
Diebold, Francis X.
-
1998
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...
Persistent link: https://www.econbiz.de/10012471967
Saved in:
5
Optimal Prediction Under Asymmetric Loss
Christoffersen, Peter F.
-
1994
illustrate the results by
forecasting
the GARCH(1,1) process which, although white noise, is non-trivially forecastable under …
Persistent link: https://www.econbiz.de/10012474036
Saved in:
6
Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.
;
Hahn, Jinyong
;
Tay, Anthony S. A.
-
1998
Persistent link: https://www.econbiz.de/10000998139
Saved in:
7
Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.
;
Hahn, Jinyong
;
Tay, Anthony S.
-
1998
Persistent link: https://www.econbiz.de/10000682409
Saved in:
8
Optimal prediction under asymmetric loss
Christoffersen, Peter F.
;
Diebold, Francis X.
-
1997
Persistent link: https://www.econbiz.de/10000968816
Saved in:
9
Evaluating density forecasts of inflation : the survey of professional forecasters
Diebold, Francis X.
;
Tay, Anthony S. A.
;
Wallis, …
-
1997
Persistent link: https://www.econbiz.de/10000642829
Saved in:
10
Optimal prediction under asymmetric loss
Christoffersen, Peter F.
- In:
Econometric theory
13
(
1997
)
6
,
pp. 808-817
Persistent link: https://www.econbiz.de/10001236164
Saved in:
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