期刊名称：Discussion Papers / School of Business, University of New South Wales
出版年度：2008
卷号：2008
出版社：Sydney
摘要：We introduce a statistical test for comparing the predictive accuracy of competing
copula specifications in multivariate density forecasts, based on the Kullback-Leibler
Information Criterion (KLIC). The test is valid under general conditions: in particular
it allows for parameter estimation uncertainty and for the copulas to be nested or nonnested.
Monte Carlo simulations demonstrate that the proposed test has satisfactory
size and power properties in finite samples. Applying the test to daily exchange rate
returns of several major currencies against the US dollar we find that the Student’s
t copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that
these exchange rate returns are characterized by symmetric tail dependence.
关键词：Copula-based density forecast; semiparametric statistics; out-of-sample
forecast evaluation; Kullback-Leibler Information Criterion; empirical copula
