Arbeitspapier
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution. The test is framed in the context of the Kullback-Leibler Information Criterion, but using (out-of-sample) conditional likelihood and censored likelihood in order to focus the evaluation on the region of interest. Monte Carlo simulations document that the resulting test statistics have satisfactory size and power properties in small samples. In an empirical application to daily exchange rate returns we find evidence that the dependence structure varies with the sign and magnitude of returns, such that different parametric copula models achieve superior forecasting performance in different regions of the support. Our analysis highlights the importance of allowing for lower and upper tail dependence for accurate forecasting of common extreme appreciation and depreciation of different currencies.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 13-061/III
- 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
Kullback-Leibler Information Criterion
out-of-sample forecast evaluation
Statistische Verteilung
Prognoseverfahren
Kopula (Mathematik)
Monte-Carlo-Methode
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Diks, Cees
Panchenko, Valentyn
Sokolinskiy, Oleg
van Dijk, Dick
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Diks, Cees
- Panchenko, Valentyn
- Sokolinskiy, Oleg
- van Dijk, Dick
- Tinbergen Institute
Entstanden
- 2013
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