In recent years, forecasts that give a more complete description of the likely future values of economic and financial variables than the expected mean have become increasingly prominent, in academia as well as in government and financial regulation. The focus of this book has been on the evaluation of these forecasts. A number of the issues relevant to the evaluation of point forecasts are equally germane to the evaluation of interval and density forecasts. There are also new problems to be overcome, such as the fact that volatility is unobserved, when forecasts of conditional variance are evaluated.
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