Likelihood-based scoring rules for comparing density forecasts in tails
type: Item
instance of: scholarly article
title: Likelihood-based scoring rules for comparing density forecasts in tails
zbMATH Open document ID: 1441.62669
author: D. Kharzeev
published in: Journal of Econometrics
publication date: 2016-08-12T00:00:00Z
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6616617
zbMATH Keywords: density forecast evaluation
zbMATH Keywords: scoring rules
zbMATH Keywords: weighted likelihood ratio scores
zbMATH Keywords: conditional likelihood
zbMATH Keywords: censored likelihood
zbMATH Keywords: risk management
describes a project that uses: QRM
describes a project that uses: Dowd
MaRDI profile type: Publication
full work available at URL: j.jeconom.2011.04.001
OpenAlex ID: W2166572063
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DOI: 10.1016/J.JECONOM.2011.04.001
description: scientific article; zbMATH DE number 6616617