haku: @author Tay, A. / yhteensä: 4
viite: 2 / 4
| Tekijä: | Diebold, F. Gunther, T. Tay, A. |
| Otsikko: | Evaluating density forecasts, with applications to financial risk management |
| Lehti: | International Economic Review
1998 : NOV, VOL. 39:4, p. 863-884 |
| Asiasana: | ECONOMICS FINANCIAL RISK RISK MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | 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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