Real-time multivariate density forecast evaluation and calibration
Subtitle: monitoring the risk of high-frequency returns on foreign exchange
By: Francis X. Diebold, Jinyong Hahn, Anthony S. Tay.
Contributors: Hahn, Jinyong.; Tay, Anthony S.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 6845; Working paper series (National Bureau of Economic Research) -- working paper no. 6845.
Publisher: National Bureau of Economic Research
Published: 1998
Place of publication: Cambridge, MA
Language: eng
Number of pages: 26
Subjects: Foreign exchange rates -- Econometric models.; Foreign exchange rates -- Forecasting.; Economic forecasting -- Econometric models.; Multivariate analysis.
Other titles: Multivariate density forecast evaluation and calibration; Monitoring the risk of high-frequency returns on foreign exchange; Risk of high-frequency returns on foreign exchange; High-frequency returns on foreign exchange
Notes: "December 1998."

JEL no. G1, C5.

Includes bibliographical references (p. 23-26).

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Electronic version available via the Internet at the NBER World Wide Web site.