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Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices

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  • Sancetta, A.
  • Nikanrova, A.

Abstract

We consider forecasting and prequential (predictive sequential) validation of meta-elliptical distributions with time varying parameters. Using the weak prequential principle of Dawid, we conduct model validation avoiding nuisance parameters problems. Results rely on the structure of meta-elliptical distributions and we allow for discontinuities in the marginals and time varying parameters. We use our approach for the study of a large data set of 16 commodity prices.

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File URL: http://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe0516.pdf
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Bibliographic Info

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0516.

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Length: 56
Date of creation: May 2005
Date of revision:
Handle: RePEc:cam:camdae:0516

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Related research

Keywords: Commodity Prices; Copula Function; Meta-Elliptical Distribution; Nonparametric Estimation; Prequential Analysis; Weibull Distribution.;

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