Density Forecasting: A Survey

• المؤلفون الرئيسيون: TAY, Anthony S., WALLIS, Kenneth F.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2000
• الموضوعات: Density forecasts; economic forecasts; financial forecasts; probability distributions; forecast evaluation; Econometrics; Economics
• الوصول للمادة أونلاين: 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

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...