Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Die gegenwärtige Krise zeigt einmal mehr, dass die Finanzmärkte und die Realwirtschaft einander stark beeinflussen können. Diese Erfahrung weckt wieder verstärktes Interesse an einer Erforschung der Verflechtungen zwischen den Finanzmärkten und realwirtschaftlichen Entwicklungen. In diesem...