Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices

Alessio Sancetta and Arina Nikanrova

Cambridge Working Papers in Economics from Faculty of Economics, 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 parameters problems. Results rely on the structure of meta-elliptical distributions and we allow for discontinuities in the marginals and time varying parameters. We use our approach for the study of a large data set of 16 commodity prices.

Keywords: Commodity Prices; Copula Function; Meta-Elliptical Distribution; Nonparametric Estimation; Prequential Analysis; Weibull Distribution. (search for similar items in EconPapers)
JEL-codes: C14 C16 C31 C32 (search for similar items in EconPapers)
Pages: 56
Date: 2005-05
New Economics Papers: this item is included in nep-ecm
Note: EM
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:0516

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