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
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Objekttyp
- Arbeitspapier
Beteiligte
- Diks, Cees
- Panchenko, Valentyn
- van Dijk, Dick
- Tinbergen Institute
Entstanden
- 2008