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