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Multivariate density forecast evaluation: A modified approach

Author

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  • Ko, Stanley I.M.
  • Park, Sung Y.
Abstract
We consider methods of evaluating multivariate density forecasts. Most previous studies use a stacked vector which is formed by the sequence of transformed marginal and conditional variables to evaluate density forecasts. However, these methods lack power when there is contemporaneous correlation among the variables. We propose a new method which is a location-adjusted version of that used by Clements and Smith (2002) Some Monte Carlo simulations show that our test has a higher power than the previous methods in the literature. Two empirical applications also show the usefulness of our proposed test.

Suggested Citation

  • Ko, Stanley I.M. & Park, Sung Y., 2013. "Multivariate density forecast evaluation: A modified approach," International Journal of Forecasting, Elsevier, vol. 29(3), pages 431-441.
    • Handle: RePEc:eee:intfor:v:29:y:2013:i:3:p:431-441
    DOI: 10.1016/j.ijforecast.2012.11.006
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    References listed on IDEAS

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    Cited by:

    1. Malte Knuppel & Fabian Kruger & Marc-Oliver Pohle, 2022. "Score-based calibration testing for multivariate forecast distributions," Papers 2211.16362, arXiv.org, revised Dec 2023.
    2. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    3. Jonas Dovern & Hans Manner, 2020. "Order‐invariant tests for proper calibration of multivariate density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
    4. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    5. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    6. Matthieu Garcin & Jules Klein & Sana Laaribi, 2020. "Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets," Papers 2007.09043, arXiv.org, revised Mar 2022.
    7. Matthieu Garcin & Jules Klein & Sana Laaribi, 2022. "Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets," Working Papers hal-02901988, HAL.
    8. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.

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