Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 25, 2009 erstellt
Beschreibung:
We propose a new approach to evaluating copula-based multivariate density forecasts. Employing Hansen’s SPA test and conducting multiple comparisons of fully-parametric models, our approach accommodates possible misspecifications in the multivariate joint and the univariate marginal distribution. Applying the approach to exchange rate data, we show the Frank copula outperforms others in most cases