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REAL-TIME MULTIVARIATE DENSITY FORECAST EVALUATION AND CALIBRATION: MONITORlNG THE RISK OF HIGH-FREQUENCY RETURNS ON FOREIGN EXCHANGE
We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions un
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