Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context
(2024)
Journal Article
Cheng, J. (in press). Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. Computational Economics, https://doi.org/10.1007/s10614-024-10571-y
Scoring rules are commonly applied to assess the accuracy of density forecasts in both univariate and multivariate settings. In a financial risk management context, we are mostly interested in a particular region of the density: the (left) tail of a... Read More about Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context.