Narrow search
Showing 1 - 10 of 12,857
Cover Image
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
Cover Image
Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003798233
Cover Image
Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance
Giacomini, Enzo - 2009
Persistent link: https://www.econbiz.de/10003931427
Cover Image
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
Cover Image
Essays on partial identification in econometrics and finance
Galichon, Alfred - 2007
Persistent link: https://www.econbiz.de/10009691355
Cover Image
Generalized autocontours : evaluation of multivariate density models
González-Rivera, Gloria; Sun, Yingying - In: International journal of forecasting 31 (2015) 3, pp. 799-814
Persistent link: https://www.econbiz.de/10011474574
Cover Image
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
Cover Image
Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Ayala, Astrid; Blazsek, Szabolcs; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 705-731
Persistent link: https://www.econbiz.de/10014506866
Cover Image
Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees G. H.; Panchenko, Valentyn; van Dijk, Dick J. C. - 2011
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/10014047091
Cover Image
A method-of-moments-based synthesis of estimation and testing methods for financial time series models
Chen, Yi-ting - In: Jingji-lunwen 38 (2010) 2, pp. 157-210
Persistent link: https://www.econbiz.de/10008688862