Density Forecasting: A Survey

• Main Authors: TAY, Anthony S., WALLIS, Kenneth F.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2000
• 主題: Density forecasts; economic forecasts; financial forecasts; probability distributions; forecast evaluation; Econometrics; Economics
• 在線閱讀: 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
• 機構: Singapore Management University

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...