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Evaluating Density Forecasts with Applications to Financial Risk Management
Open accessAbstract
Density forecasting is increasingly more important and commonplace, for example in financial risk management, yet little attention has been given to the evaluation of density forecasts. We develop a simple and operational framework for density forecast evaluation. We illustrate the framework with a detailed application to density forecasting of asset returns in environments with time-varying volatility. Finally, we discuss several extensions.
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Citations
Cited by
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Patton, A. J. (2006) · International Economic Review · doi:10.1111/j.1468-2354.2006.00387.x · Cited by 2,112
Probabilistic Forecasts, Calibration and Sharpness
Gneiting, T., Balabdaoui, F., & Raftery, A. E. (2007) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.1467-9868.2007.00587.x · Cited by 1,783
Electricity price forecasting: A review of the state-of-the-art with a look into the future
Weron, R. (2014) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2014.08.008 · Cited by 1,646
Hendry, D. F., & Clements, M. P. (2004) · The Econometrics Journal · doi:10.1111/j.1368-423x.2004.00119.x · Cited by 466
Forecast combinations: An over 50-year review
Wang, X., Hyndman, R. J., Li, F., & Kang, Y. (2023) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2022.11.005 · Cited by 280
Metadata
- Authors
- Diebold, F. X., Gunther, T. A., & Tay, A. S.
- Venue
- International Economic Review
- Publisher
- JSTOR
- Published
- 1998-11
- Volume
- 39
- Issue
- 4
- Pages
- 863
- ISSN
- 0020-6598 (ISSN-L)
- OpenAlex
- W2165410407
- Cited by
- 1,452
- References
- 0
- FWCI
- 31.04
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
