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

38 Pages Posted: 26 Feb 1999 Last revised: 11 Oct 2010

See all articles by Francis X. Diebold

Francis X. Diebold

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

Jinyong Hahn

Anthony S. Tay

Singapore Management University - School of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: December 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 forecasts. Finally 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, Anthony S., Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange (December 1998). NBER Working Paper No. w6845. Available at SSRN: https://ssrn.com/abstract=145017

Francis X. Diebold (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Anthony S. Tay

Singapore Management University - School of Economics ( email )

90 Stamford Road
178903
Singapore

No contact information is available for Jinyong Hahn

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