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

Bibliographic Details
Main Author: Diebold, Francis X.
Other Authors: Hahn, Jinyong, Tay, Anthony S.
Format: Book
Language:English
Published: Cambridge National Bureau of Economic Research 1998.
Series:NBER working paper series no.6845
Subjects:
Foreign exchange rates > Econometric models.
Foreign exchange rates > Forecasting.
Economic forecasting > Econometric models.
Multivariate analysis.