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    Forecasting and prequential validation for time varying meta-elliptical distributions

    Sancetta, A. and Nikandrova, Arina (2009) Forecasting and prequential validation for time varying meta-elliptical distributions. Journal of Time Series Econometrics 1 (2), ISSN 1941-1928.

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    Abstract

    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 parameter problems. Results rely on the structure of meta-elliptical distributions and we allow for discontinuities in the marginals and time varying parameters. We illustrate the ideas of the paper using a large data set of 16 commodity prices.

    Metadata

    Item Type: Article
    Additional Information: The final publication is available at www.degruyter.com
    Keyword(s) / Subject(s): commodity prices, copula function, meta-elliptic distribution, nonparametric estimation, prequential analysis, Weibull distribution
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Arina Nikandrova
    Date Deposited: 29 May 2013 15:10
    Last Modified: 27 Jul 2019 09:23
    URI: http://eprints.bbk.ac.uk/id/eprint/7036

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