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

42 Pages Posted: 11 Nov 2008

See all articles by Francis X. Diebold

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Jinyong Hahn

Anothony S. Tay

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: August 1998

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 "calibration" can be used to improve deficient density forecasts. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts.

Suggested Citation

Diebold, Francis X. and Hahn, Jinyong and Tay, Anothony S., Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange (August 1998). NYU Working Paper No. FIN-98-079. Available at SSRN: https://ssrn.com/abstract=1298284

Francis X. Diebold (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
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Philadelphia, PA 19104-6297
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215-898-1507 (Phone)
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HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

Anothony S. Tay

affiliation not provided to SSRN

No Address Available

No contact information is available for Jinyong Hahn

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