Density Forecasting: A Survey

@inproceedings{Tay2000DensityFA,
  title={Density Forecasting: A Survey},
  author={Anthony S. Tay and Kenneth Frank Wallis},
  year={2000}
}
A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation and evaluation of density forecasts. 

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