کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
997553 | 1481453 | 2012 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
We propose two simple evaluation methods for time-varying density forecasts of continuous higher-dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation of the coordinate system. The advantages of the second method are not only its applicability to arbitrary continuous distributions, but also the evaluation of the forecast accuracy in specific regions of its domain, as defined by the user's interest. We show that the latter property is particularly useful for evaluating a multidimensional generalization of the Value at Risk. In both simulations and an empirical study, we examine the performances of the two tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 28, Issue 2, AprilâJune 2012, Pages 343-352
Journal: International Journal of Forecasting - Volume 28, Issue 2, AprilâJune 2012, Pages 343-352
نویسندگان
Arnold Polanski, Evarist Stoja,