scholarly journals Order‐invariant tests for proper calibration of multivariate density forecasts

2020 ◽  
Vol 35 (4) ◽  
pp. 440-456
Author(s):  
Jonas Dovern ◽  
Hans Manner
Keyword(s):  
Density Forecasts ◽  
Multivariate Density ◽  
Order Invariant

scholarly journals Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts

2018 ◽  
Author(s):  
Jonas Dovern ◽  
Hans Manner
Keyword(s):  
Density Forecasts ◽  
Multivariate Density ◽  
Order Invariant

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

2014 ◽  
Vol 48 ◽  
pp. 79-94 ◽  
Author(s):  
Cees Diks ◽  
Valentyn Panchenko ◽  
Oleg Sokolinskiy ◽  
Dick van Dijk
Keyword(s):  
Density Forecasts ◽  
Multivariate Density

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

2008 ◽  
Author(s):  
Cees G. H. Diks ◽  
Valentyn Panchenko ◽  
Dick J. C. van Dijk
Keyword(s):  
Out Of Sample ◽  
Density Forecasts ◽  
Multivariate Density

scholarly journals Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

2013 ◽  
Author(s):  
Cees G. H. Diks ◽  
V. Panchenko ◽  
Dick J. C. van Dijk
Keyword(s):  
Density Forecasts ◽  
Multivariate Density

scholarly journals Combining Multivariate Density Forecasts Using Predictive Criteria

2009 ◽  
Author(s):  
Kristoffer P. Nimark ◽  
Hugo Gerard
Keyword(s):  
Density Forecasts ◽  
Multivariate Density

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

2010 ◽  
Vol 34 (9) ◽  
pp. 1596-1609 ◽  
Author(s):  
Cees Diks ◽  
Valentyn Panchenko ◽  
Dick van Dijk
Keyword(s):  
Out Of Sample ◽  
Density Forecasts ◽  
Multivariate Density

Evaluating credit risk models using loss density forecasts

2003 ◽  
Vol 5 (4) ◽  
pp. 1-23 ◽  
Keyword(s):  
Credit Risk ◽  
Risk Models ◽  
Density Forecasts

Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts

2008 ◽  
Author(s):  
Kevin Dowd ◽  
Andrew J. G. Cairns ◽  
David P. Blake ◽  
Guy Coughlan ◽  
David Epstein ◽  
...  
Keyword(s):  
Stochastic Mortality ◽  
Post Evaluation ◽  
Ex Post ◽  
Stochastic Mortality Models ◽  
Mortality Models ◽  
Density Forecasts
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