In this paper we propose a new battery of test statistics for dynamic specification and density functional form in a wide range of multivariate time series models including linear and non-linear VAR specifications with multivariate GARCH disturbances. The tests are applied to the vector of...

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...