Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
收藏NBER1998-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w6845
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
1998-12-01
