search query: @author Diebold, F. / total: 5
reference: 3 / 5
| Author: | Diebold, F. Gunther, T. Tay, A. |
| Title: | Evaluating density forecasts, with applications to financial risk management |
| Journal: | International Economic Review
1998 : NOV, VOL. 39:4, p. 863-884 |
| Index terms: | ECONOMICS FINANCIAL RISK RISK MANAGEMENT |
| Language: | eng |
| 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. The authors develop a simple and operational framework with a detailed application to density forecasting of asset returns in environments with time-varying volatility. Finally, the authors discuss several extensions. |
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