Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange
提出评估和改进多元密度预测的框架，可用于检验含交叉变量交互（如时变条件相关）的密度预测，并展示校准方法如何从计量模型生成良好预测，最后应用于高频汇率密度预测。
We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under which a technique of density forecast "calibration" can be used to improve deficient density forecasts, and we show how the calibration method can be used to generate good density forecasts from econometric models, even when the conditional density is unknown. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology