@techreport{NBERw6845,
 title = "Real-Time Multivariate Density Forecast Evaluation and Calibration:  Monitoring the Risk of High-Frequency Returns on Foreign Exchange",
 author = "Francis X. Diebold and Jinyong Hahn and Anthony S. Tay",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "6845",
 year = "1998",
 month = "December",
 URL = "http://www.nber.org/papers/w6845",
 abstract = {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.},
}