Density Forecasting: A Survey

Anthony S Tay () and Kenneth Wallis ()

No 370, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

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. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation and evaluation of density forecasts.

Date: 2000-08-01
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