Evaluating Density Forecasts
Technical Working Paper 0215
DOI 10.3386/t0215
Issue Date
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.
Published Versions
(newly titled "Evaluating Density Forecasts, with Applications to Financial Risk Management") International Economic Review, Vol. 39 (1998): 863-883.