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Polanski, Arnold 
ORCID: https://orcid.org/0000-0001-9146-6364 and Stoja, Evarist
(2011)
Dynamic density forecasts for multivariate asset returns.
Journal of Forecasting, 30 (6).
pp. 523-540.
ISSN 0277-6693
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 |
| Depositing User: | Julie Frith |
| Date Deposited: | 09 Feb 2012 10:26 |
| Last Modified: | 16 Jan 2024 01:20 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/36884 |
| DOI: | 10.1002/for.1192 |
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