Evaluating Density Forecasts with Applications to Financial Risk Management
提出一个简单可操作的密度预测评估框架，并应用于时变波动环境下资产收益的密度预测，对金融风险管理者和计量经济学家有参考价值。
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. We develop a simple and operational framework for density forecast evaluation. We illustrate the framework with a detailed application to density forecasting of asset returns in environments with time-varying volatility. Finally, we discuss several extensions.