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Density Forecasting: A Survey

Author

Listed:
  • Anthony Tay

    (National University of Singapore)

  • Kenneth F. Wallis

    (University of Warwick)

Abstract

A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation and evaluation of density forecasts.

Suggested Citation

  • Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
  • Handle: RePEc:ecm:wc2000:0370
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