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13-061/III - Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support


  • Authors
    Cees Diks, University of Amsterdam, the Netherlands; Valentyn Panchenko, University of New South Wales, Australia; Oleg Sokolinskiy,, Rutgers Business School, United States; Dick van Dijk, Erasmus University Rotterdam, the Netherlands
  • Publication date
    April 19, 2013
  • Keywords
    Copula-based density forecast, Kullback-Leibler Information Criterion, out-of-sample forecast evaluation
  • JEL
    C12, C14, C32, C52, C53