This paper contributes to the forecasting literature by presenting a new evaluation method for density and probability estimates. This procedure is particularly well suited for analysing time series of forecasts implied from option prices, although the results are very general and can be applied...

The collapse of Lehman Brothers in 2008 marked the peak of a financial crisis that is affecting the entire world of finance. This period is characterized by increasing fear of further defaults by corporations (including banks) or even by countries. In reaction, investors began shifting their...