Temporal dependence in multi-step density forecasting models

Kevin Dowd

Journal of Risk Model Validation

Abstract: ABSTRACT Temporal dependence in multi-step density forecasting models is examined. If the underlying random variable has a known dependence structure this suggests that suitably transformed observations from the density forecasting model have a unique (and often simple) dependence structure of their own. Knowledge of this structure enables the model validator to carry out more efficient tests that take account of, and also test, the dependence structure itself. The tests themselves are extremely simple and powerful. An illustrative empirical application of the proposed approach to the evaluation of the Bank of England’s “fan chart” forecasts of inflation uncertainty is also given.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-risk-model-validat ... y-forecasting-models (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ5:2161251

Access Statistics for this article

More articles in Journal of Risk Model Validation from Journal of Risk Model Validation
Bibliographic data for series maintained by Thomas Paine ().