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Smooth transition autoregressive models : a survey of recent developments

Dijk, Dick van; Teräsvirta, Timo; Franses, Philip Hans - In: Econometric reviews 21 (2002) 1, pp. 1-47

Persistent link: https://www.econbiz.de/10001660011

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. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003798233

Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model

Exterkate, Peter; Dijk, Dick van; Heij, Christiaan; … - 2010

Persistent link: https://www.econbiz.de/10003987315

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

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

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

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