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Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
Journal of Economic Dynamics and Control
◽
10.1016/j.jedc.2014.08.021
◽
2014
◽
Vol 48
◽
pp. 79-94
◽
Cited By ~ 10
Author(s):
Cees Diks
◽
Valentyn Panchenko
◽
Oleg Sokolinskiy
◽
Dick van Dijk
Keyword(s):
Density Forecasts
◽
Multivariate Density
Download Full-text
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Cited By
References
Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts
SSRN Electronic Journal
◽
10.2139/ssrn.1294250
◽
2008
◽
Cited By ~ 4
Author(s):
Cees G. H. Diks
◽
Valentyn Panchenko
◽
Dick J. C. van Dijk
Keyword(s):
Out Of Sample
◽
Density Forecasts
◽
Multivariate Density
Download Full-text
A Test Procedure for Evaluating Copula-Based Multivariate Density Forecasts
SSRN Electronic Journal
◽
10.2139/ssrn.1413453
◽
2009
◽
Cited By ~ 1
Author(s):
Xiaoming Li
◽
Qing Xu
Keyword(s):
Test Procedure
◽
Density Forecasts
◽
Multivariate Density
Download Full-text
Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
SSRN Electronic Journal
◽
10.2139/ssrn.3200269
◽
2018
◽
Author(s):
Jonas Dovern
◽
Hans Manner
Keyword(s):
Density Forecasts
◽
Multivariate Density
◽
Order Invariant
Download Full-text
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
SSRN Electronic Journal
◽
10.2139/ssrn.2254892
◽
2013
◽
Cited By ~ 1
Author(s):
Cees G. H. Diks
◽
V. Panchenko
◽
Dick J. C. van Dijk
Keyword(s):
Density Forecasts
◽
Multivariate Density
Download Full-text
Combining Multivariate Density Forecasts Using Predictive Criteria
SSRN Electronic Journal
◽
10.2139/ssrn.1373713
◽
2009
◽
Cited By ~ 2
Author(s):
Kristoffer P. Nimark
◽
Hugo Gerard
Keyword(s):
Density Forecasts
◽
Multivariate Density
Download Full-text
Out-of-sample comparison of copula specifications in multivariate density forecasts
Journal of Economic Dynamics and Control
◽
10.1016/j.jedc.2010.06.021
◽
2010
◽
Vol 34
(9)
◽
pp. 1596-1609
◽
Cited By ~ 30
Author(s):
Cees Diks
◽
Valentyn Panchenko
◽
Dick van Dijk
Keyword(s):
Out Of Sample
◽
Density Forecasts
◽
Multivariate Density
Download Full-text
Order‐invariant tests for proper calibration of multivariate density forecasts
Journal of Applied Econometrics
◽
10.1002/jae.2755
◽
2020
◽
Vol 35
(4)
◽
pp. 440-456
Author(s):
Jonas Dovern
◽
Hans Manner
Keyword(s):
Density Forecasts
◽
Multivariate Density
◽
Order Invariant
Download Full-text
Evaluating credit risk models using loss density forecasts
The Journal of Risk
◽
10.21314/jor.2003.085
◽
2003
◽
Vol 5
(4)
◽
pp. 1-23
◽
Cited By ~ 6
Keyword(s):
Credit Risk
◽
Risk Models
◽
Density Forecasts
Download Full-text
Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts
SSRN Electronic Journal
◽
10.2139/ssrn.1396201
◽
2008
◽
Cited By ~ 24
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
Download Full-text
On the efficiency of German growth forecasts: an empirical analysis using quantile random forests and density forecasts
Applied Economics Letters
◽
10.1080/13504851.2021.1954594
◽
2021
◽
pp. 1-10
Author(s):
Alexander Foltas
◽
Christian Pierdzioch
Keyword(s):
Empirical Analysis
◽
Random Forests
◽
Density Forecasts
◽
Growth Forecasts
Download Full-text
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