Journal
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
Volume 34, Issue 9, Pages 1596-1609Publisher
ELSEVIER
DOI: 10.1016/j.jedc.2010.06.021
Keywords
Copula-based density forecast; Empirical copula; Kullback-Leibler information criterion; Out-of-sample forecast evaluation; Semi-parametric statistics
Categories
Ask authors/readers for more resources
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler information criterion (KLIC). The test is valid under general conditions on the competing copulas: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student-t copula is favored over Gaussian, Gumbel and Clayton copulas. (C) 2010 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available