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Evaluating Density Forecasts with Applications to Financial Risk Management

Francis X. Diebold, Todd A. Gunther and Anthony S. Tay
International Economic Review
Vol. 39, No. 4, Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance (Nov., 1998), pp. 863-883
DOI: 10.2307/2527342
Stable URL: http://www.jstor.org/stable/2527342
Page Count: 21
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Evaluating Density Forecasts with Applications to Financial Risk Management
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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. 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.

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