Forecasting Using Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices
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Sancetta, A., & Nikanrova, A. (2006). Forecasting Using Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. http://www.dspace.cam.ac.uk/handle/1810/131621
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.
Classification-JEL: C14, C16, C31, C32, Commodity Prices, Copula Function, Meta-Elliptical Distribution, Nonparametric Estimation, Weibull Distribution.
This record's DOI: http://dx.doi.org/10.17863/CAM.5433