Evaluating multivariate forecast densities: a comparison of two approaches
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- West, Kenneth D, 1996.
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- West, K.D. & McCracken, M.W., 1997.
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- Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
- Pesaran, H.M. & Potter, S.M., 1995.
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- Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
- 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.
- McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
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