Evaluating Density Forecasts with an Application to Stock Market Returns

37 Pages Posted: 8 Jun 2016

See all articles by Burkhard Raunig

Burkhard Raunig

Austrian National Bank - Economic Studies Division

Gabriela De Raaij

affiliation not provided to SSRN

Date Written: 2002

Abstract

Density forecasts have become quite important in economics and finance. For example,

Die Voraussagen von Dichten ist in verschiedenen ökonomischen Fragestellungen sehr

Keywords: Density forecasting, Forecast evaluation, Risk management, GARCH-models

JEL Classification: C52, C53, G10

Suggested Citation

Raunig, Burkhard and De Raaij, Gabriela, Evaluating Density Forecasts with an Application to Stock Market Returns (2002). Bundesbank Series 1 Discussion Paper No. 2002,08. Available at SSRN: https://ssrn.com/abstract=2785144

Burkhard Raunig (Contact Author)

Austrian National Bank - Economic Studies Division ( email )

POB 61
Vienna, A-1011
Austria
+43 1 404 20 7219 (Phone)
+43 1 404 20 7299 (Fax)

Gabriela De Raaij

affiliation not provided to SSRN

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