Evaluating density forecasts with applications to financial risk management

• Main Authors: Diebold, Francis X., Gunther, Todd A., TAY, Anthony S.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1998
• Subjects: Analytical forecasting; Density estimation; Histograms; Autocorrelation; Probabilities; Finance; International economics; Probability forecasts; Forecasting models; Economic statistics; Econometrics; Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/69; https://ink.library.smu.edu.sg/context/soe_research/article/1068/viewcontent/EvaluatingDensityForecastsFinRiskMgt_1998_IEA_afv.pdf
• Institution: Singapore Management University

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 retu...