Publication Type

Journal Article

Version

Preprint

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

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.2307/2527342

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