Evaluating Density Forecasts with Applications to Financial Risk Management

22 Pages Posted: 31 Oct 2008

See all articles by Francis X. Diebold

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Todd A. Gunther

affiliation not provided to SSRN

Anthony S. Tay

Singapore Management University - School of Economics

Date Written: November 1998

Abstract

Density forecasting is increasingly more important and commonplace, forexample in financial risk management, yet little attention has been given to theevaluation of density forecasts. We develop a simple and operational frameworkfor density forecast evaluation. We illustrate the framework with adetailed application to density forecasting of asset returns in environments withtime-varying volatility. Finally, we discuss several extensions.

Suggested Citation

Diebold, Francis X. and Gunther, Todd A. and Tay, Anthony S., Evaluating Density Forecasts with Applications to Financial Risk Management (November 1998). Statistics Working Papers Series, Vol. , pp. -, 1998. Available at SSRN: https://ssrn.com/abstract=1290957

Francis X. Diebold (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Todd A. Gunther

affiliation not provided to SSRN

Anthony S. Tay

Singapore Management University - School of Economics ( email )

90 Stamford Road
178903
Singapore

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