The interest in density forecasts (as opposed to solely modeling the conditional mean) arises from the possibility of dynamics in higher moments of a time series as well as, in some applications, the interest in forecasting the probability of future events. By combining the idea of Markov...

This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...