Evaluating density forecasts with applications to financial risk management

• 成果类型: Article
• 署名作者: Diebold, FX; Gunther, TA; Tay, AS
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; National University of Singapore
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.2307/2527342
• 发表日期: 1998
• 页码: 863-883
• 关键词: model

摘要

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.