| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6845 |
| 来源ID | Working Paper 6845 |
| Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange | |
| Francis X. Diebold; Jinyong Hahn; Anthony S. Tay | |
| 发表日期 | 1998-12-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under which a technique of density forecast forecasts. Finally by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts. |
| 主题 | Financial Economics ; Financial Markets ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w6845 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564355 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Jinyong Hahn,Anthony S. Tay. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6845.pdf（863KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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