Given the growing need for managing financial risk, risk prediction plays an increasing role
in banking and finance. In this study we compare the out-of-sample performance of existing …

Knowledge of the statistical distribution of the prices of emission allowances, and their
forecastability, are crucial in constructing, among other things, purchasing and risk …

This paper brings together two important but hitherto largely unrelated areas of the
forecasting literature, density forecasting and forecast combination. It proposes a practical …

This paper proposes and analyses the Kullback–Leibler information criterion (KLIC) as a
unified statistical tool to evaluate, compare and combine density forecasts. Use of the KLIC …

We propose new scoring rules based on conditional and censored likelihood for assessing
the predictive accuracy of competing density forecasts over a specific region of interest, such …

In this paper we discuss how to compare various (possibly misspecified) density forecast
models using the Kullback–Leibler information criterion (KLIC) of a candidate density …

Quantile forecasts are central to risk management decisions because of the widespread use
of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast …

The potential of economic variables for financial risk measurement is an open field for
research. This article studies the role of market capitalization in the estimation of Value-at …

A resampling method based on the bootstrap and a bias-correction step is developed for
improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model …

For oil related investment appraisal, an accurate description of the evolving uncertainty in
the oil price is essential. For example, when using real option theory to value an investment …