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A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/1099-131x(200007)19:4<235::aid-for772>3.0.co;2-lopenalex-extracted

Density forecasting: a survey

inferredcites →https://doi.org/10.1002/for.1023openalex-extracted

Comparing density forecast models

inferredcites →https://doi.org/10.1002/for.1260openalex-extracted

Testing Interval Forecasts: A GMM‐Based Approach

inferredcites →https://doi.org/10.1002/jae.703openalex-extracted

Evaluating interval forecasts of high‐frequency financial data

inferredcites →https://doi.org/10.1016/0304-4076(89)90031-6openalex-extracted

Interval forecasting

inferredcites →https://doi.org/10.1016/s0169-7161(96)14010-4openalex-extracted

8 Forecast evaluation and combination

inferredcites →https://doi.org/10.1080/02664768600000002openalex-extracted

Alternative forms and properties of the score test

inferredcites →https://doi.org/10.1080/07350015.1993.10509938openalex-extracted

Calculating Interval Forecasts

inferredcites →https://doi.org/10.1162/003465399558526openalex-extracted

Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange

inferredcites →https://doi.org/10.1198/07350010152596718openalex-extracted

Testing Density Forecasts, With Applications to Risk Management

inferredcites →https://doi.org/10.1198/073500104000000370openalex-extracted

CAViaR

inferredcites →https://doi.org/10.1198/jasa.2011.r10138openalex-extracted

Making and Evaluating Point Forecasts

inferredcites →https://doi.org/10.2307/2527341openalex-extracted

Evaluating Interval Forecasts

inferredcites →https://doi.org/10.2307/2527342openalex-extracted

Evaluating Density Forecasts with Applications to Financial Risk Management

inferredcites →https://doi.org/10.1016/s0169-2070(02)00009-2openalex-snapshot

Chi-squared tests of interval and density forecasts, and the Bank of England’s fan charts

inferredcites →https://doi.org/10.1287/mnsc.1080.0964openalex-snapshot

Evaluating Value-at-Risk Models with Desk-Level Data

What points at this work

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inferred← citeshttps://doi.org/10.1080/03610926.2019.1650185openalex-snapshot

On multinomial hidden Markov model for hierarchical manpower systems

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