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~institution:"Birkbeck College / Department of Economics"
~institution:"EconWPA"
~institution:"Institute for Fiscal Studies"
~institution:"National Bureau of Economic Research"
~person:"Diebold, Francis X."
~subject:"Aktiengesellschaft"
~subject:"Devisenmarkt"
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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
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2
Estimating Global Bank Network Connectedness
Demirer, Mert
-
2017
the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample
estimation
and … dynamic network connectedness using rolling-window
estimation
. Statically, we find that global bank equity connectedness has a …
Persistent link: https://www.econbiz.de/10012455541
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