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
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management
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, April–June 2012, Pages 343-352
نویسندگان
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