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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. (contributor); … - 2008

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

Nonparametric methods in economics and finance : dependence, causality and prediction

Panchenko, Valentyn - 2006

Persistent link: https://www.econbiz.de/10003379623

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

Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support

Diks, Cees G. H.; Panchenko, Valentyn; Sokolinskiy, Oleg; … - 2013

Persistent link: https://www.econbiz.de/10009756306

Comparing the accuracy of multivariate density forecasts in selected regions of the copula support

Diks, Cees G. H.; Panchenko, Valentyn; Sokolinskiy, Oleg; … - In: Journal of economic dynamics & control 48 (2014), pp. 79-94

Persistent link: https://www.econbiz.de/10010485831

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

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - In: Journal of economic dynamics & control 34 (2010) 9, pp. 1596-1609

Persistent link: https://www.econbiz.de/10009125848

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees G. H.; Panchenko, Valentyn; van Dijk, Dick J. C. - 2011

Persistent link: https://www.econbiz.de/10014047091