Arbeitspapier

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student's t copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized by symmetric tail dependence.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. 08-105/4

Klassifikation
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Thema
Copula-based density forecast
semiparametric statistics
out-of-sample forecast evaluation
Kullback-Leibler Information Criterion
empirical copula
Kopula (Mathematik)
Prognoseverfahren
Nichtparametrisches Verfahren
Zeitreihenanalyse
Modellierung
Theorie

Ereignis
Geistige Schöpfung
(wer)
Diks, Cees
Panchenko, Valentyn
van Dijk, Dick
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2008

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Diks, Cees
  • Panchenko, Valentyn
  • van Dijk, Dick
  • Tinbergen Institute

Entstanden

  • 2008

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