Dynamic Density Forecasts for Multivariate Asset Returns
Data(s) |
01/09/2011
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Resumo |
We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the Method of Moments for a carefully selected set of co-moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the “negative tail” of the joint distribution. |
Identificador | |
Idioma(s) |
eng |
Direitos |
info:eu-repo/semantics/restrictedAccess |
Fonte |
Polanski , A & Stoja , E 2011 , ' Dynamic Density Forecasts for Multivariate Asset Returns ' Journal of Forecasting , vol x , no. 6 , pp. 523-540 . |
Palavras-Chave | #/dk/atira/pure/subjectarea/asjc/1400/1408 #Strategy and Management #/dk/atira/pure/subjectarea/asjc/1700/1706 #Computer Science Applications #/dk/atira/pure/subjectarea/asjc/1800/1803 #Management Science and Operations Research #/dk/atira/pure/subjectarea/asjc/1800/1804 #Statistics, Probability and Uncertainty #/dk/atira/pure/subjectarea/asjc/2600/2611 #Modelling and Simulation |
Tipo |
article |