@techreport{NBERt0215,
 title = "Evaluating Density Forecasts",
 author = "Francis X. Diebold and Todd A. Gunther and Anthony S. Tay",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Technical Working Paper Series",
 number = "215",
 year = "1997",
 month = "October",
 URL = "http://www.nber.org/papers/t0215",
 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.},
}