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...

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Bibliographic details
Main Author: Raunig, Burkhard
de Raaij, Gabriela
Format: Paper
Language: English
Place of publication: 2002
Related: Deutsche Bundesbank, Research Centre
Data of publication: 2002
Series: Discussion Paper Series 1: Economic Studies
Online Access: available in Bonn?
Database: RePEc IDEAS
Database information Databases - DBIS