Smooth Test of Density Forecast Evaluation with Independent and Serially Dependent Data

• Main Author: GHOSH, Aurobindo
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Score Test; Density Forecast Evaluation; Probability Integral Transform; Goodness-of-Fit test; Serially Dependent Data; Simulation methods; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1390
• Institution: Singapore Management University

Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area has b...