Using different loss functions in estimation and forecast evaluation of econometric models can cause suboptimal parameter estimates and inaccurate assessment of predictive ability. Though there are not general guidelines on how to choose the loss function, the modeling of Value-at-Risk is a rare...

We propose a new battery of dynamic specification tests for the joint hypothesis of iid-ness and density function based on the fundamental properties of independent random variables with identical distributions. We introduce a device — the autocontour — whose shape is very sensitive to...

We contribute to the rather thin literature on multivariate density forecasts by introducing a new framework for out-of-sample evaluation of multivariate density forecast models that builds upon the concept of autocontour proposed by Gonzalez-Rivera et al. (2011). This approach uniquely combines...