T
Todd A. Gunther
Publications - 4
Citations - 2591
Todd A. Gunther is an academic researcher. The author has contributed to research in topics: Consensus forecast & Financial risk management. The author has an hindex of 4, co-authored 4 publications receiving 2506 citations.
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Evaluating Density Forecasts with Applications to Financial Risk Management
TL;DR: In this paper, a simple and operational framework for density forecast evaluation is developed for asset returns in environments with time-varying volatility, and several extensions to the framework are discussed.
Journal ArticleDOI
Evaluating density forecasts with applications to financial risk management
TL;DR: In this article, a simple and operational framework for density forecast evaluation is developed, with a detailed application to density forecasting of asset returns in environments with time-varying volatility.
Posted Content
Evaluating Density Forecasts
TL;DR: In this article, the authors propose methods for evaluating density forecasts that are applicable regardless of the particular user's loss function and illustrate the methods with a detailed simulation example, and then they present an application to density forecasting of daily stock market returns.
ReportDOI
Evaluating Density Forecasts
TL;DR: In this paper, the authors propose methods for evaluating density forecasts regardless of the particular user's loss function, and illustrate the methods with a detailed simulation example, and then they present an application to density forecasting of daily stock market returns.