Likelihood-based scoring rules for comparing density forecasts in tailsCees G. H. Diks, Valentyn Panchenko, Dick J.C. van Dijk2011-04-25articleJournal of Econometrics149 citationsgreenNo readable copy stored yet — this record is metadata only.Forecasting Techniques and ApplicationsFinancial Risk and Volatility ModelingStatistical Methods and InferenceAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 149 citations exist upstream.References2007Strictly Proper Scoring Rules, Prediction, and Estimation1994Comparing Predictive Accuracy1998Evaluating Interval Forecasts1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2005Quantitative Risk Management: Concepts, Techniques, and Tools2006Quantitative Risk Management: Concepts, Techniques, and Tools2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach2006Tests of Conditional Predictive AbilityCited by2018Alternative tests for correct specification of conditional predictive densities2015Generalised density forecast combinations2016Forecasting Tail Risks2015Connecting the Dots: Econometric Methods for Uncovering Networks with an Application to the Australian Financial Institutions2013Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set2018Modeling multivariate cybersecurity risks2016A Vine Copula Model for Predicting the Effectiveness of Cyber Defense Early-Warning2013Bayesian semiparametric multivariate GARCH modeling