Evaluating density forecasts with applications to financial risk management

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...

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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
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Institution:	Singapore Management University
Language:	English

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spelling	sg-smu-ink.soe_research-10682017-01-26T08:42:22Z Evaluating density forecasts with applications to financial risk management Diebold, Francis X. Gunther, Todd A. TAY, Anthony S. 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. 1998-11-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/69 info:doi/10.2307/2527342 https://ink.library.smu.edu.sg/context/soe_research/article/1068/viewcontent/EvaluatingDensityForecastsFinRiskMgt_1998_IEA_afv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Analytical forecasting Density estimation Histograms Autocorrelation Probabilities Finance International economics Probability forecasts Forecasting models Economic statistics Econometrics Economics Finance
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Analytical forecasting Density estimation Histograms Autocorrelation Probabilities Finance International economics Probability forecasts Forecasting models Economic statistics Econometrics Economics Finance
spellingShingle	Analytical forecasting Density estimation Histograms Autocorrelation Probabilities Finance International economics Probability forecasts Forecasting models Economic statistics Econometrics Economics Finance Diebold, Francis X. Gunther, Todd A. TAY, Anthony S. Evaluating density forecasts with applications to financial risk management
description	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.
format	text
author	Diebold, Francis X. Gunther, Todd A. TAY, Anthony S.
author_facet	Diebold, Francis X. Gunther, Todd A. TAY, Anthony S.
author_sort	Diebold, Francis X.
title	Evaluating density forecasts with applications to financial risk management
title_short	Evaluating density forecasts with applications to financial risk management
title_full	Evaluating density forecasts with applications to financial risk management
title_fullStr	Evaluating density forecasts with applications to financial risk management
title_full_unstemmed	Evaluating density forecasts with applications to financial risk management
title_sort	evaluating density forecasts with applications to financial risk management
publisher	Institutional Knowledge at Singapore Management University
publishDate	1998
url	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
_version_	1770569020694593536

Evaluating density forecasts with applications to financial risk management

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