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. |

Submitted paper full-text in .pdf |

Most recent version of the paper |

File created by Jurgen Doornik with eswc2000.ox on 2-01-2001