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Evaluating Density Forecasts

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

Center for Financial Institutions Working Papers from Wharton School Center for Financial Institutions, University of Pennsylvania

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.

Date: 1997-08
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Related works:
Working Paper: Evaluating density forecasts (1997) Downloads
Working Paper: Evaluating Density Forecasts (1997) Downloads
Working Paper: Evaluating Density Forecasts Downloads
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