Publication Type
Journal Article
Version
submittedVersion
Publication Date
11-1998
Abstract
We propose methods for evaluating density forecasts. We focus primarily on methods that are applicable regardless of the particular user’s loss function. We illustrate the methods with a detailed simulation example, and then we present an application to density forecasting of daily stock market returns. We discuss extensions for improving suboptimal density forecasts, multi-step-ahead density forecast evaluation, multivariate density forecast evaluation, monitoring for structural change and its relationship to density forecasting, and density forecast evaluation with known loss function.
Keywords
Analytical forecasting, Density estimation, Histograms, Autocorrelation, Probabilities, Finance, International economics, Probability forecasts, Forecasting models, Economic statistics
Discipline
Econometrics | Economics | Finance
Research Areas
Econometrics
Publication
International Economic Review
Volume
39
Issue
4
First Page
863
Last Page
883
ISSN
0020-6598
Identifier
10.2307/2527342
Publisher
Wiley
Citation
Diebold, Francis X.; Gunther, Todd A.; and TAY, Anthony S..
Evaluating density forecasts with applications to financial risk management. (1998). International Economic Review. 39, (4), 863-883.
Available at: https://ink.library.smu.edu.sg/soe_research/69
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/10.2307/2527342