Forecasting of density functions with an application to cross-sectional and intraday returns

This paper is concerned with the forecasting of probability density functions. Density functions are nonnegative and have a constrained integral, and thus do not constitute a vector space. The implementation of established functional time series forecasting methods for such nonlinear data is therefore problematic. Two new methods are developed and compared to two existing methods. The comparison is based on the densities derived from...