Dynamic density forecasts for multivariate asset returns

Polanski, Arnold and Stoja, Evarist (2011) Dynamic density forecasts for multivariate asset returns. Journal of Forecasting, 30 (6). pp. 523-540. ISSN 0277-6693

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Abstract

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the method of moments for a carefully selected set of co-moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the ‘negative tail’ of the joint distribution.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > School of Economics
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Economic Theory Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance Faculty of Science > Research Groups > Statistics
Depositing User:	Julie Frith
Date Deposited:	09 Feb 2012 10:26
Last Modified:	12 Oct 2025 14:31
URI:	https://ueaeprints.uea.ac.uk/id/eprint/36884
DOI:	10.1002/for.1192

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