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. The authors develop a simple and operational framework for density forecast evaluation. They illustrate the framework with a detailed application to density forecasting of asset returns in environments with time-varying volatility. Finally, the authors discuss several extensions. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 39 (1998) Issue (Month): 4 (November) Pages: 863-83 Download reference. The following formats are available: HTML
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