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

forecasts, focusing on a specific part of the joint distribution. The test is framed in the context of the Kullback …

out-of sample forecasting assessment up to seven days ahead. The one-day ahead forecasts from fourty-eight bivariate …

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

out-of sample forecasting assessment up to seven days ahead. The one-day ahead forecasts from forty-eight bivariate models …