Evaluating Density Forecasts with Applications to Financial Risk Management

Evaluating density forecasts: a comment

Evaluating Density Forecasts via the Copula Approach

In this paper, we develop parametric tests for the correct density forecasts. Similar to Berkowitz (2001), we construct our tests by nesting a series of i.i.d. uniform random variables in a class of stationary Markov processes. Unlike Berkowitz (2001), the class of Markov processes in this paper is constructed via the copula approach, which allows the separate modeling of the marginal distribut...

Using contingency approach to improve firms’ financial performance forecasts

One of the challenging issues for investors and professionals is appropriate models to evaluate financial situation of the firms. In this regard, many models have been extracted by researchers using different financial ratios to resolve these issues. However, choosing a model based on the conditions and users’ needs is complex. The main objective of this study is to identify the effect of conti...

Evaluating interval forecasts of high-frequency financial data

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based t...

Dynamic Density Estimation with Financial Applications

ABSTRACT. Empirical distributions in finance and economics might show heavy tails, volatility clustering, varying mean returns and multimodality as part of their features. However, most statistical models available in the literature assume some kind of parametric form (clearly neglecting important characteristics of the data) or focus on modeling extreme events (therefore, providing no informat...