Evaluating Density Forecasts
Technical Working Paper 0215
DOI 10.3386/t0215
Issue Date
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.
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Copy CitationFrancis X. Diebold, Todd A. Gunther, and Anthony S. Tay, "Evaluating Density Forecasts," NBER Working Paper t0215 (1997), https://doi.org/10.3386/t0215.
Published Versions
(newly titled "Evaluating Density Forecasts, with Applications to Financial Risk Management") International Economic Review, Vol. 39 (1998): 863-883.