Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce...

We propose methods for evaluating density forecasts. We focus primarily on methodsquot; that are applicable regardless of the particular user's loss function. We illustrate the methodsquot; with a detailed simulation example, and then we present an application to density forecasting ofquot;...

Since 1968, the Survey of Professional Forecasters has asked respondents to provide aquot; complete probability distribution of expected future inflation. We evaluate the adequacy ofquot; those density forecasts using the framework of Diebold, Gunther and Tay (1997). The analysisquot; reveals...

Density forecasting is increasingly more important and commonplace, forexample in financial risk management, yet little attention has been given to theevaluation of density forecasts. We develop a simple and operational frameworkfor density forecast evaluation. We illustrate the framework with...

We provide a framework for evaluating and improving multivariate density forecasts.Among other things, the multivariate framework lets us evaluate the adequacy of density forecastsinvolving cross-variable interactions, such as time-varying conditional correlations. We alsoprovide conditions...

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

Since 1968, the Survey of Professional Forecasters has asked respondents to provide a" complete probability distribution of expected future inflation. We evaluate the adequacy of" those density forecasts using the framework of Diebold, Gunther and Tay (1997). The analysis" reveals several...

We propose methods for evaluating density forecasts. We focus primarily on methods" that are applicable regardless of the particular user's loss function. We illustrate the methods" with a detailed simulation example, and then we present an application to density forecasting of" daily stock...