Wallis, Kenneth F.: Density Forecasting: A Survey
World Conference Econometric Society, 2000, Seattle

Anthony Tay, National University of Singapore
Kenneth F. Wallis, University of Warwick
Density Forecasting: A Survey
Session: C-10-20  Tuesday 15 August 2000  by Wallis, Kenneth F.
A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation and evaluation of density forecasts.
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