| To: | s-news@lists.biostat.wustl.edu |
|---|---|
| Subject: | Diebold, Gunther, and Tay (1998) Test |
| From: | Richard <hujian@gmail.com> |
| Date: | Mon, 7 Apr 2008 22:24:53 -0500 |
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Hi Guys,
Does anybody just happen to have the code on Diebold, Gunther, and Tay (1998) Test to evaluate density forecasts? Please refer to this paper: "Evaluating Density Forecasts with Applications to Financial Risk Management" by Francis X. Diebold, Todd A. Gunther and Anthony S. Tay. Thanks!
Richard
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