Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 79-94
This paper develops a testing framework for comparing the predictive accuracy of competing multivariate density forecasts with different predictive copulas, focusing on specific parts of the copula support. The tests are framed in the context of the Kullback–Leibler Information Criterion,...