Likelihood-based scoring rules for comparing density forecasts in tails-Reference-Cited by-同舟云学术

Likelihood-based scoring rules for comparing density forecasts in tails

Published:2011-08 Issue:2 Volume:163 Page:215-230
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Diks Cees,Panchenko Valentyn,van Dijk Dick

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference57 articles.

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4. The message in daily exchange rates: a conditional-variance tale;Baillie;Journal of Business and Economic Statistics,1989

5. Bao, Y., Lee, T.-H., Saltoğlu, B., 2004. A test for density forecast comparison with applications to risk management. Working Paper 04-08, UC Riverside.

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