Proper Scoring Rules for Evaluating Asymmetry in Density Forecasting

23 Pages Posted: 15 Jul 2020

See all articles by Matteo Iacopini

Matteo Iacopini

VU University Amsterdam - Department of Econometrics

Francesco Ravazzolo

Free University of Bozen-Bolzano - Faculty of Economics and Management; BI Norwegian Business School

Luca Rossini

University of Milan; Ca Foscari University of Venice - Dipartimento di Economia

Date Written: June 19, 2020

Abstract

This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, such as the tails or the center of a variable’s range.

The ACPS is of general use in any situation where the decision maker has asymmetric preferences in the evaluation of the forecasts. In an artificial experiment, the implications of varying the level of asymmetry are illustrated.

Then, the proposed score is applied to assess and compare density forecasts of macroeconomic relevant datasets (unemployment rate) and of commodity prices (oil and electricity prices) with a particular focus on the recent COVID crisis period.

Suggested Citation

Iacopini, Matteo and Ravazzolo, Francesco and Rossini, Luca, Proper Scoring Rules for Evaluating Asymmetry in Density Forecasting (June 19, 2020). Available at SSRN: https://ssrn.com/abstract=3632278 or http://dx.doi.org/10.2139/ssrn.3632278

Matteo Iacopini (Contact Author)

VU University Amsterdam - Department of Econometrics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands

Francesco Ravazzolo

Free University of Bozen-Bolzano - Faculty of Economics and Management ( email )

Via Sernesi 1
39100 Bozen-Bolzano (BZ), Bozen 39100
Italy

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

HOME PAGE: http://www.francescoravazzolo.com/

Luca Rossini

University of Milan ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

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