Evaluating Density Forecasts with Applications to Financial Risk Management

Francis Diebold, Todd A Gunther and Anthony S Tay ()

International Economic Review, 1998, vol. 39, issue 4, 863-83

Abstract: Density forecasting is increasingly more important and commonplace, for example in financial risk management, yet little attention has been given to the evaluation of density forecasts. The authors develop a simple and operational framework for density forecast evaluation. They illustrate the framework with a detailed application to density forecasting of asset returns in environments with time-varying volatility. Finally, the authors discuss several extensions. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1998
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