<> "The repository administrator has not yet configured an RDF license."^^ . <> . . "Order Invariant Evaluation of Multivariate Density Forecasts"^^ . "We derive new tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms. These tests have the advantage that they i) do\r\nnot depend on the ordering of variables in the forecasting model, ii) are applicable to densities of arbitrary dimensions, and iii) have superior power relative to existing approaches. We furthermore develop adjusted tests that allow for estimated parameters and, consequently,\r\ncan be used as in-sample specification tests. We demonstrate the problems of existing tests and how our new approaches can overcome those using Monte Carlo Simulation as well as two applications based on multivariate GARCH-based models for stock market returns and on a macroeconomic Bayesian vectorautoregressive model."^^ . "2016-03" . . . "0608" . . . . . . . . "Jonas"^^ . "Dovern"^^ . "Jonas Dovern"^^ . . "Hans"^^ . "Manner"^^ . "Hans Manner"^^ . . . . . . "Order Invariant Evaluation of Multivariate Density Forecasts (PDF)"^^ . . . "dovern_manner_2016_dp608.pdf"^^ . . . "Order Invariant Evaluation of Multivariate Density Forecasts (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "Order Invariant Evaluation of Multivariate Density Forecasts (Other)"^^ . . . . . . "preview.jpg"^^ . . . "Order Invariant Evaluation of Multivariate Density Forecasts (Other)"^^ . . . . . . "medium.jpg"^^ . . . "Order Invariant Evaluation of Multivariate Density Forecasts (Other)"^^ . . . . . . "small.jpg"^^ . . . "Order Invariant Evaluation of Multivariate Density Forecasts (Other)"^^ . . . . . . "indexcodes.txt"^^ . . "HTML Summary of #20376 \n\nOrder Invariant Evaluation of Multivariate Density Forecasts\n\n" . "text/html" . . . "330 Wirtschaft"@de . "330 Economics"@en . .