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Dynamic Density Forecasts for Multivariate Asset Returns
Year Of Publication: 2009
Month Of Publication: September
Pages: 27
Download Count: 2
View Count: 1419
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-28-2011
Publisher: Administrator
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.
This document is published in Journal of Forecasting (volume 30, number 6) September 2011, 523-540.
Polanski, Arnold Sign in to follow this author
Stoja, Evarist Sign in to follow this author
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