Density forecast evaluation for dependent financial data: Theory and applications

• Main Authors: GHOSH, Aurobindo, BERA, Anil K.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Score test; Probability integral transform; Model selection; GARCH model; Simulation based method; Sample size selection; Business; Corporate Finance; Finance and Financial Management
• 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
• Institution: Singapore Management University

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...