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Evaluating Density Forecasts / Francis X. Diebold, Todd A. Gunther, Anthony S. Tay.
- Format:
- Book
- Author/Creator:
- Diebold, Francis X.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0215.
- NBER technical working paper series no. t0215
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1997.
- Summary:
- 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 returns. We discuss extensions for improving suboptimal density forecasts multi-step-ahead density forecast evaluation, multivariate density forecast evaluation for structural change and its relationship to density forecasting, and density forecast evaluation" with known loss function.
- Notes:
- Print version record
- October 1997.
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