Order‐invariant tests for proper calibration of multivariate density forecasts
Author:
Affiliation:
1. Institute for EconomicsFriedrich‐Alexander University Erlangen‐Nürnberg Nuremberg Germany
2. CESifo Munich Germany
3. Institute of EconomicsUniversity of Graz Graz Austria
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2755
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1. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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3. Testing Parametric Conditional Distributions of Dynamic Models
4. Testing multivariate distributions in GARCH models
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