Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Détails bibliographiques
Auteur principal: Diebold, Francis X.
Autres auteurs: Hahn, Jinyong, Tay, Anthony S.
Format: Livre
Langue:English
Publié: Cambridge National Bureau of Economic Research 1998.
Collection:NBER working paper series no.6845
Sujets:
Foreign exchange rates > Econometric models.
Foreign exchange rates > Forecasting.
Economic forecasting > Econometric models.
Multivariate analysis.