Podrobný výpis o publikaci

Multivariate time series forecasting is applied in a wide range of economic activities related to regional competitiveness and is the basis of risk management analysis. In this paper we combine multivariate density forecasts. The performance of models is identified using historical dates including domestic economy and foreign economy, which is represented by countries of the Eurozone. Because forecast accuracy of observed models are different, the weighting scheme based on the predictive likelihood, the trace of past MSE matrix, model ranks are used to combine the models. The equal-weight scheme is used as a simple combination scheme. The results show that optimally combined densities are comparable to the best individual models.