Likelihood-based scoring rules for comparing density forecasts in tails

Estimation of Relationships for Limited Dependent Variables

James Tobin · Econometrica · 1958 · 6.9K citations

Economics, Estimation Statistic, Economic Analysis +5

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Engineering, Proper Scoring Rules, Statistical Foundation +18

Remarks on a Multivariate Transformation

Murray Rosenblatt · The Annals of Mathematical Statistics · 1952 · 2.8K citations · Full text

Multivariate Transformation, Multivariate Approximation, Functional Analysis +2

Evaluating Interval Forecasts

Peter Christoffersen · International Economic Review · 1998 · 2.6K citations

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Tim Bollerslev · The Review of Economics and Statistics · 1987 · 2.6K citations

Economics, Volatility Modeling, Financial Economics +7