Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails

C Diks, V Panchenko, Dick van Dijk

Research output: Contribution to journal › Article › Academic › peer-review

90 Citations (Scopus)

Research programs

@article{737de5a4fddc4c18a6b54c58f5c334ff,

title = "Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails",

author = "C Diks and V Panchenko and \{van Dijk\}, Dick",

year = "2011",

doi = "10.1016/j.jeconom.2011.04.001",

language = "English",

volume = "163",

pages = "215--230",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

number = "2",

}