منابع مشابه
Assessing performances of density forecasts in duration models
Traditionally the forecast evaluation literature has focused on methods for assessing point forecasts and interval forecasts. Recently , however, density forecasting became very active and important area of research in the analysis of economic and financial time series with the introduction of simple and operational framework for density forecast evaluation by Diebold et al (1998). Density fore...
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A rapidly growing literature emphasizes the importance of evaluating the forecast accuracy of empirical models on the basis of density (as opposed to point) forecasting performance. We propose a test statistic for the null hypothesis that two competing models have equal density forecast accuracy. Monte Carlo simulations suggest that the test, which has a known limiting distribution, displays sa...
متن کاملMortality Density Forecasts: An Analysis of Six Stochastic Mortality Models
This paper develops a framework for developing forecasts of future mortality rates. We discuss the suitability of six stochastic mortality models for forecasting future mortality and estimating the density of mortality rates at different ages. In particular, the models are assessed individually with reference to the following qualitative criteria that focus on the plausibility of their forecast...
متن کاملReal-Time Density Forecasts from VARs with
Central banks and other forecasters have become increasingly interested in various aspects of density forecasts. However, recent sharp changes in macroeconomic volatility — such as the Great Moderation and the more recent sharp rise in volatility associated with greater variation in energy prices and the deep global recession — pose significant challenges to density forecasting. Accordingly, th...
متن کاملOptimal combination of density forecasts
This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts using optimal weights. These optimal weights are those weights that minimise the ‘distance’, as measured by the Kullback-Leibler Information Criterion, betwe...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2016
ISSN: 0883-7252
DOI: 10.1002/jae.2545