This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we construct accuracy assessment tests that are in the spirit of Diebold and Mariano (1995) and White (2000) . In order to establish the asymptotic properties of our tests, we also develop a recursive

more »

... t of the nonparametric simulated maximum likelihood estimator of Fermanian and Salanié (2004) . In an empirical illustration, the predictive densities from several models of the one-month federal funds rates are compared. JEL classification: C22, C51.