|Title: ||Forecasting Using Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices|
|Authors: ||Sancetta, Alessio|
|Issue Date: ||14-Mar-2006|
|Abstract: ||We propose a methodological approach to the forecast and evaluation of multivariate distributions with time varying parameters. For reasons related to feasible inference attention is restricted to meta-elliptical distributions. We use our approach for the study of a large data set of 16 commodity prices. Our approach leads to a theory for model validation avoiding common problems caused by discontinuities, time variation of parameters and nuisance parameters.|
|Appears in Collections:||Cambridge Working Papers in Economics|
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