Evaluating multivariate forecast densities: a comparison of two approaches
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 18 (2002)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ijforecast
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- Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1999. "Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 661-673, November.
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