Concepedia

Density Forecast Evaluation

Density Forecast Evaluation is a methodological framework within forecast evaluation that assesses the accuracy of probabilistic forecasts by comparing the entire predicted probability distribution to the observed outcome, distinguishing it from point- or interval-based evaluation techniques.

76

Publications

6.1K

Citations

111

Authors

86

Institutions

Publications per year

2017–2026

10

Variants

Probabilistic Forecast Evaluation

Parents

Publications

76

Testing Density Forecasts, With Applications to Risk Management

Jeremy Berkowitz · Journal of Business and Economic Statistics · 2001 · 899 citations

, , +17

Comparing Density Forecasts via Weighted Likelihood Ratio Tests

Gianni Amisano, Raffaella Giacomini · Journal of Business and Economic Statistics · 2007 · 548 citations

, , +16

Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules

Tilmann Gneiting, Roopesh Ranjan · Journal of Business and Economic Statistics · 2010 · 509 citations

, , +16

Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange

Francis X. Diebold, Jinyong Hahn, Anthony S. Tay · The Review of Economics and Statistics · 1999 · 357 citations · Full text

, , +17

Density forecasting: a survey

Anthony S. Tay, Kenneth F. Wallis · Journal of Forecasting · 2000 · 321 citations

, , +16

1–5 of 76

Authors

111

  1. JM
    James Mitchell

    National Institute of Economic and Social Research, United Kingdom

    7 publications · 539 citations

    7

    h-index

  2. KF
    Kenneth F. Wallis

    University of Warwick, United Kingdom

    7 publications · 718 citations

    7

    h-index

  3. AS
    Anthony S. Tay

    Singapore Management University, Singapore

    6 publications · 1K citations

    6

    h-index

  4. FX
    Francis X. Diebold

    University of Pennsylvania, United States

    4 publications · 705 citations

    4

    h-index

  5. JS
    Jeremy Smith

    University of Warwick, United Kingdom

    4 publications · 210 citations

    4

    h-index

1–5 of 111

Institutions

86

  1. University of Warwick

    Coventry, United Kingdom

    11 h-index

    16 publications

    1.4K citations

  2. National Institute of Economic and Social Research

    London, United Kingdom

    5 h-index

    6 publications

    648 citations

  3. European Central Bank

    Frankfurt am Main, Germany

    4 h-index

    7 publications

    198 citations

  4. University of Padua

    Padua, Italy

    3 h-index

    3 publications

    137 citations

  5. Bank of England

    London, United Kingdom

    3 h-index

    7 publications

    291 citations

  6. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    3 h-index

    4 publications

    208 citations

  7. Norges Bank

    Oslo, Norway

    3 h-index

    8 publications

    624 citations

  8. Queen Mary University of London

    London, United Kingdom

    3 h-index

    3 publications

    284 citations

1–8 of 86

Venues

  1. SSRN Electronic Journal

    Repository · 15 publications · 371 citations

    12

    h-index

  2. Journal of Forecasting

    9 publications · 596 citations

    9

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 5 publications · 2.2K citations

    5

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 5 publications · 130 citations

    5

    h-index

  5. International Journal of Forecasting

    4 publications · 239 citations

    4

    h-index

1–5