| 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. |
| Submitted paper full-text in .pdf | Most recent version of the paper |