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- W3125675300 abstract "This paper introduces new ways to construct probability integral transforms of random vectors that complement the approach of Diebold, Hahn, and Tay (1999) for evaluating multivariate conditional density forecasts. Our approach enables us to scan multivariate densities in various di.erent ways. A simple bivariate normal example is given that illustrates how scanning a multivariate density from particular angles leads to tests with no power or high power. An empirical example is also given that applies several di.erent probability integral transforms to specification testing of Engle's (2002) dynamic conditional correlation model for multivariate financial returns time series with multivariate normal and t errors." @default.
- W3125675300 created "2021-02-01" @default.
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- W3125675300 date "2005-09-01" @default.
- W3125675300 modified "2023-10-02" @default.
- W3125675300 title "Scanning Multivariate Conditional Densities with Probability Integral Transforms" @default.
- W3125675300 hasPublicationYear "2005" @default.
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