TY  - JOUR
AU  - Diebold,Francis X.
AU  - Gunther,Todd A.
AU  - Tay,Anthony S.
TI  - Evaluating Density Forecasts
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 215
PY  - 1997
Y2  - October 1997
UR  - http://www.nber.org/papers/t0215
L1  - http://www.nber.org/papers/t0215.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu
AB  - 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.
ER  -