Out-of-sample comparison of copula specifications in multivariate density forecasts-Reference-Cited by-同舟云学术

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

Published:2010-09 Issue:9 Volume:34 Page:1596-1609
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Diks Cees,Panchenko Valentyn,van Dijk Dick

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference37 articles.

1. Comparing density forecasts via weighted likelihood ratio tests;Amisano;Journal of Business and Economic Statistics,2007

2. Comparing density forecast models;Bao;Journal of Forecasting,2007

3. Copula goodness-of-fit testing: an overview and power comparison;Berg;European Journal of Finance,2009

4. Berg, D., Bakken, H., 2007. A copula goodness-of-fit approach based on the conditional probability integral transform. Working paper, Norwegian Computing Center.

5. Dependence structures for multivariate high-frequency data in finance;Breymann;Quantitative Finance,2003

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