We propose a new framework for evaluating predictive densities in an environment where
the estimation error of the parameters used to construct the densities is preserved …

Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series
econometrics. This book contains 16 original research contributions by some the leading …

With the growing recognition that point forecasts, the traditional focus, are better seen as the
central points of ranges of uncertainty, in recent years increased emphasis has been given …

Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series
econometrics. This book contains 16 original research contributions by some the leading …

We propose a new tool, the Generalized Autocontour (G-ACR), as the basis for a battery of
dynamic specification tests that are applicable (in-sample or out-of-sample) to univariate or …

We propose a quantile–based method to estimate the parameters of an elliptical distribution,
and a battery of tests for model adequacy. The method is suitable for vast dimensions as the …

We propose a density forecast evaluation method in the presence of instabilities, which are
defined as breaks in any conditional moment of interest and/or in the functional form of the …

We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic
models. The proposed techniques can be applied in any set‐up where parametric …

We contribute to the rather sparse literature on multivariate density forecasting by
introducing a new framework for the out-of-sample evaluation of multivariate density forecast …

Established tests for proper calibration of multivariate density forecasts based on Rosenblatt
probability integral transforms can be manipulated by changing the order of variables in the …