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

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10003787159

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

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …

Persistent link: https://www.econbiz.de/10011377261

Model Uncertainty and Policy Evaluation : Some Theory and Empirics

Brock, William A. - 2004

This paper explores ways to integrate model uncertainty into policy evaluation. We first describe a general framework for the incorporation of model uncertainty into standard econometric calculations. This framework employs Bayesian model averaging methods that have begun to appear in a range of...

Persistent link: https://www.econbiz.de/10012467771

Bounds on the Variances of Specification Errors in Models with Expectations

Durlauf, Steven N. - 1989

ranked according to the information restrictions employed in constructing noise estimates. Our results show that … information sets that exclude those variables …

Persistent link: https://www.econbiz.de/10012476117

On the effects of private information on volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011 - This version: May 9, 2011

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …

Persistent link: https://www.econbiz.de/10011386466