Publication Type
Journal Article
Version
publishedVersion
Publication Date
7-2000
Abstract
A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. A selective survey is presented of applications of density forecasting in macroeconomics and finance, and some issues concerning the production, presentation, and evaluation of density forecasts are discussed.
Keywords
Density forecasts, economic forecasts, financial forecasts, probability distributions, forecast evaluation
Discipline
Econometrics | Economics
Research Areas
Econometrics
Publication
Journal of Forecasting
Volume
19
Issue
4
First Page
235
Last Page
254
ISSN
0277-6693
Identifier
10.1002/1099-131X(200007)19:4<235::AID-FOR772>3.0.CO;2-L
Publisher
Wiley
Citation
TAY, Anthony S. and WALLIS, Kenneth F..
Density Forecasting: A Survey. (2000). Journal of Forecasting. 19, (4), 235-254.
Available at: https://ink.library.smu.edu.sg/soe_research/263
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1002/1099-131X(200007)19:4<235::AID-FOR772>3.0.CO;2-L