Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions

Alessio Sancetta and Nikandrova Arina
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Nikandrova Arina: University of Cambridge

Journal of Time Series Econometrics, 2009, vol. 1, issue 2, 41

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.

Keywords: commodity prices; copula function; meta-elliptic distribution; nonparametric estimation; prequential analysis; Weibull distribution (search for similar items in EconPapers)
Date: 2009
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DOI: 10.2202/1941-1928.1005

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