TY  - JOUR
AU  - Diebold,Francis X.
AU  - Hahn,Jinyong
AU  - Tay,Anthony S.
TI  - Real-Time Multivariate Density Forecast Evaluation and Calibration:  Monitoring the Risk of High-Frequency Returns on Foreign Exchange
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6845
PY  - 1998
Y2  - December 1998
UR  - http://www.nber.org/papers/w6845
L1  - http://www.nber.org/papers/w6845.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Jinyong Hahn
UCLA
E-Mail: hahn@econ.ucla.edu
AB  - 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.
ER  -