NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Francis X. Diebold, Jinyong Hahn, Anthony S. Tay

NBER Working Paper No. 6845
Issued in December 1998
NBER Program(s):   IFM   AP

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 which a technique of density forecast forecasts. Finally by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts.

download in pdf format
   (864 K)

email paper

This paper is available as PDF (864 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w6845

Published: (Published as "Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High Frequency Returns on Foreign Exchange") Review of Economics and Statistics, Vol. 81 (1999): 661-673.

Users who downloaded this paper also downloaded these:
Christoffersen and Diebold w6844 How Relevant is Volatility Forecasting for Financial Risk Management?
Diebold, Gunther, and Tay t0215 Evaluating Density Forecasts
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us