Evaluating Density Forecasts

38 Pages Posted: 26 Aug 2000 Last revised: 5 Aug 2010

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: October 1997

Abstract

We propose methods for evaluating density forecasts. We focus primarily on methods" that are applicable regardless of the particular user's loss function. We illustrate the methods" with a detailed simulation example, and then we present an application to density forecasting of" daily stock market returns. We discuss extensions for improving suboptimal density forecasts multi-step-ahead density forecast evaluation, multivariate density forecast evaluation for structural change and its relationship to density forecasting, and density forecast evaluation" with known loss function.

Suggested Citation

Diebold, Francis X. and Gunther, Todd A. and Tay, Anthony S., Evaluating Density Forecasts (October 1997). NBER Working Paper No. t0215. Available at SSRN: https://ssrn.com/abstract=226623

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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