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

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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.

Additional information is available for the following registered author(s):

Alessio Sancetta

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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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
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Handle: RePEc:cam:camdae:0516

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-05-07 (All new papers)
NEP-ECM-2005-05-07 (Econometrics)

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