Density forecast evaluation for dependent financial data: Theory and applications
In this paper, we propose a formal test for density forecast evaluation in presence of dependent data. Apart from accepting or rejecting the tested model, our smooth test identifies the possible sources (such as the location, scale and shape of the distribution) of rejection, thereby helping in revi...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5087 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6086/viewcontent/densityforecastdep2016.pdf |
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| Institution: | Singapore Management University |
| Language: | English |