Validating multiple-period density-forecasting models
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References listed on IDEAS
- Berkowitz, Jeremy, 2001. "Testing Density Forecasts, with Applications to Risk Management," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 465-474, October.
- M. C. Jones & M. J. Faddy, 2003. "A skew extension of the "t"-distribution, with applications," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 159-174.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
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American Statistical Association, vol. 20(1), pages 134-144, January.
- Efstathios Paparoditis & Dimitris N. Politis, 2002. "The tapered block bootstrap for general statistics from stationary sequences," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 131-148, June.
- Kenneth F. Wallis, 2004. "An Assessment of Bank of England and National Institute Inflation Forecast Uncertainties," National Institute Economic Review, National Institute of Economic and Social Research, vol. 189(1), pages 64-71, July.
- Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
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- Carl Lönnbark, 2016. "Approximation methods for multiple period Value at Risk and Expected Shortfall prediction," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 947-968, June.
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