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

  • Sancetta, A.
  • Nikanrova, A.

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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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
Note: EM
Contact details of provider: Web page: http://www.econ.cam.ac.uk/index.htm

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  2. Andrew Patton, 2004. "Modelling Asymmetric Exchange Rate Dependence," Working Papers wp04-04, Warwick Business School, Finance Group.
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  9. Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
  10. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
  11. Starica, Catalin, 1999. "Multivariate extremes for models with constant conditional correlations," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 515-553, December.
  12. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
  13. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
  14. Deaton, Angus & Laroque, Guy, 1996. "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 896-923, October.
  15. repec:cup:etheor:v:13:y:1997:i:6:p:771-90 is not listed on IDEAS
  16. Kano, Y., 1994. "Consistency Property of Elliptic Probability Density Functions," Journal of Multivariate Analysis, Elsevier, vol. 51(1), pages 139-147, October.
  17. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
  18. Christian Genest & Bruno Rémillard, 2004. "Test of independence and randomness based on the empirical copula process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 13(2), pages 335-369, December.
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