Density Forecasting: A Survey

Anthony S. Tay · Kenneth Frank Wallis

54 citations0/0 files storedJournal of Forecasting

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

This chapter contains section titled: INTRODUCTION DENSITY FORECASTS IN MACROECONOMICS AND FINANCE PRESENTATION OF DENSITY FORECASTS EVALUATION AND CALIBRATION CONCLUSIONS

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1965The Behavior of Stock-Market Prices 1969The Combination of Forecasts 1998Evaluating Interval Forecasts 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1978Prices of State-Contingent Claims Implicit in Option Prices 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

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2007The ECB Survey of Professional Forecasters (SPF): A Review after Eight Years' Experience

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