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Evaluating Density Forecasts with Applications to Financial Risk Management

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  • Diebold, Francis X
  • Gunther, Todd A
  • Tay, Anthony S

Abstract

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.

Suggested Citation

  • Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-883, November.
  • Handle: RePEc:ier:iecrev:v:39:y:1998:i:4:p:863-83
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