Evaluating density forecasts with applications to financial risk management

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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書目詳細資料
Main Authors:	Diebold, Francis X., Gunther, Todd A., TAY, Anthony S.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 1998
主題:	Analytical forecasting Density estimation Histograms Autocorrelation Probabilities Finance International economics Probability forecasts Forecasting models Economic statistics Econometrics Economics
在線閱讀:	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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機構:	Singapore Management University
語言:	English

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