Evaluating density forecasts with an application to stock market returns
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other app...
|Main Author:||Raaij, Gabriela|
|Place of publication:||
Frankfurt am Main Deutsche Bundesbank 2002
|Data of publication:||2002|
|Online Access:||available in Bonn?|
Database information Databases - DBIS