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...
de Raaij, Gabriela
|Place of publication:||
Oesterreichische Nationalbank (Austrian Central Bank)
|Data of publication:||2002/02/18|
|Online Access:||available in Bonn?|
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