Evaluating density forecasts with applications to financial risk management
TL;DR: In this article, a simple and operational framework for density forecast evaluation is developed, with a detailed application to density forecasting of asset returns in environments with time-varying volatility.
read more
Abstract: Density forecasting is increasingly more important and commonplace, for example in financial risk management, yet little attention has been given to the evaluation of density forecasts. The authors develop a simple and operational framework for density forecast evaluation. They illustrate the framework with a detailed application to density forecasting of asset returns in environments with time-varying volatility. Finally, the authors discuss several extensions. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Citations
Modeling and forecasting realized volatility
TL;DR: In this article, the authors provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions.
Modelling asymmetric exchange rate dependence
TL;DR: In this paper, the authors test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations.
Probabilistic forecasts, calibration and sharpness
TL;DR: In this paper, a diagnostic approach to the evaluation of predictive performance that is based on the paradigm of maximizing the sharpness of the predictive distributions subject to calibration is proposed, which is illustrated by an assessment and ranking of probabilistic forecasts of wind speed at the Stateline wind energy centre in the US Pacific Northwest.
1.9K
Multivariate GARCH models: a survey
Abstract: This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research.
1.9K
25 years of time series forecasting
Jan G. De Gooijer,Rob J. Hyndman +1 more
TL;DR: A review of the past 25 years of research into time series forecasting can be found in this paper, where the authors highlight results published in journals managed by the International Institute of Forecasters.
1.7K
References
New Techniques to Extract Market Expectations from Financial Instruments
Paul Söderlind,Lars E.O. Svensson +1 more
- 01 Jan 1997
TL;DR: New techniques to extract market expectations from financial instruments are explored to provide insights into future economic outlook and potential manipulation detection.
•Posted Content
New Techniques to Extract Market Expectations from Financial Instruments
TL;DR: In this paper, the authors focus on extracting information from asset prices, which is relevant for banking and financial market surveillance, since asset prices will reflect market participants' expectations about the future.
234