Testing Density Forecasts, With Applications to Risk Management
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- 1 October 2001
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 19 (4) , 465-474
- https://doi.org/10.1198/07350010152596718
Abstract
The forecast evaluation literature has traditionally focused on methods of assessing point forecasts. However, in the context of many models of financial risk, interest centers on more than just a ...Keywords
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