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Essays on financial econometrics

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Identification of marginal effects in nonseparable models without monotonicity

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Higher order moments in distribution modelling with applications to risk management

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On the use of t copulas for economic capital calculations

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Gaussian analysis of non-Gaussian time series

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Weights and pools for a Norwegian density combination

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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

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