08-050/4 - Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

• Authors
  Cees Diks, University of Amsterdam; Valentyn Panchenko, University of New South Wales; Dick van Dijk, Erasmus University Rotterdam
• Publication date
  May 20, 2008

• Keywords
  density forecast evaluation; scoring rules; weighted likelihood ratio scores; partial likelihood; risk management
• JEL
  C12; C22; C52; C53