Density Forecasting: A Survey

A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. A selective survey is presented of applications of density forecasting in macroeconomics and finance, and some issues concerni...

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Main Authors: TAY, Anthony S., WALLIS, Kenneth F.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2000
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Online Access:https://ink.library.smu.edu.sg/soe_research/263
https://ink.library.smu.edu.sg/context/soe_research/article/1262/viewcontent/DensityForecasting_2000_JoF.pdf
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Institution: Singapore Management University
Language: English
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spelling sg-smu-ink.soe_research-12622017-01-26T05:51:59Z Density Forecasting: A Survey TAY, Anthony S. WALLIS, Kenneth F. A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. A selective survey is presented of applications of density forecasting in macroeconomics and finance, and some issues concerning the production, presentation, and evaluation of density forecasts are discussed. 2000-07-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/263 info:doi/10.1002/1099-131X(200007)19:4<235::AID-FOR772>3.0.CO;2-L https://ink.library.smu.edu.sg/context/soe_research/article/1262/viewcontent/DensityForecasting_2000_JoF.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Density forecasts economic forecasts financial forecasts probability distributions forecast evaluation Econometrics Economics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Density forecasts
economic forecasts
financial forecasts
probability distributions
forecast evaluation
Econometrics
Economics
spellingShingle Density forecasts
economic forecasts
financial forecasts
probability distributions
forecast evaluation
Econometrics
Economics
TAY, Anthony S.
WALLIS, Kenneth F.
Density Forecasting: A Survey
description A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. A selective survey is presented of applications of density forecasting in macroeconomics and finance, and some issues concerning the production, presentation, and evaluation of density forecasts are discussed.
format text
author TAY, Anthony S.
WALLIS, Kenneth F.
author_facet TAY, Anthony S.
WALLIS, Kenneth F.
author_sort TAY, Anthony S.
title Density Forecasting: A Survey
title_short Density Forecasting: A Survey
title_full Density Forecasting: A Survey
title_fullStr Density Forecasting: A Survey
title_full_unstemmed Density Forecasting: A Survey
title_sort density forecasting: a survey
publisher Institutional Knowledge at Singapore Management University
publishDate 2000
url https://ink.library.smu.edu.sg/soe_research/263
https://ink.library.smu.edu.sg/context/soe_research/article/1262/viewcontent/DensityForecasting_2000_JoF.pdf
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