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Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions

Author

Listed:
  • Sancetta Alessio

    (Deutsche Bank)

  • Nikandrova Arina

    (University of Cambridge)

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.

Suggested Citation

  • Sancetta Alessio & Nikandrova Arina, 2009. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-41, December.
    • Handle: RePEc:bpj:jtsmet:v:1:y:2009:i:2:n:1
    DOI: 10.2202/1941-1928.1005
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    Cited by:

    1. Derumigny, A. & Fermanian, J.-D., 2022. "Identifiability and estimation of meta-elliptical copula generators," Journal of Multivariate Analysis, Elsevier, vol. 190(C).

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