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08-105/4 - Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts


  • Authors
    Cees Diks, University of Amsterdam; Valentyn Panchenko, University of New South Wales; Dick van Dijk, Erasmus University Rotterdam
  • Publication date
    November 3, 2008
  • Keywords
    Copula-based density forecast, semiparametric statistics, out-of-sample forecast evaluation, Kullback-Leibler Information Criterion, empirical copula
  • JEL
    C12, C14, C32, C52, C53