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.
No takes yet. Share an insight, caveat, or question.
Diebold et al. (1998) studied this question.
Synapse has enriched 3 closely related papers on similar clinical questions. Consider them for comparative context: