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A Simple Explanation of the Forecast Combination Puzzle
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Cited by:
- von der Gracht, Heiko A. & Hommel, Ulrich & Prokesch, Tobias & Wohlenberg, Holger, 2016. "Testing weighting approaches for forecasting in a Group Wisdom Support System environment," Journal of Business Research, Elsevier, vol. 69(10), pages 4081-4094.
- Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
- Li, Li & Kang, Yanfei & Li, Feng, 2023.
"Bayesian forecast combination using time-varying features,"
International Journal of Forecasting, Elsevier, vol. 39(3), pages 1287-1302.
- Li Li & Yanfei Kang & Feng Li, 2021. "Bayesian forecast combination using time-varying features," Papers 2108.02082, arXiv.org, revised Jun 2022.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2022.
"Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 29-50,
Emerald Group Publishing Limited.
- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2015. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 5468, CESifo.
- Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2020. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 8810, CESifo.
- António Rua & Paulo Esteves, 2012. "Short-term forecasting for the portuguese economy: a methodological overview," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- Peter Bednarik & Thomas Schultze, 2015. "The effectiveness of imperfect weighting in advice taking," Judgment and Decision Making, Society for Judgment and Decision Making, vol. 10(3), pages 265-276, May.
- Tae-Hwy Lee & Ekaterina Seregina, 2022.
"Combining Forecasts under Structural Breaks Using Graphical LASSO,"
Papers
2209.01697, arXiv.org, revised Sep 2023.
- Tae-Hwy Lee & Ekaterina Seregina, 2022. "Combining Forecasts under Structural Breaks Using Graphical LASSO," Working Papers 202213, University of California at Riverside, Department of Economics.
- Tae-Hwy Lee & Ekaterina Seregina, 2023. "Combining Forecasts under Structural Breaks Using Graphical LASSO," Working Papers 202310, University of California at Riverside, Department of Economics.
- Krüger Fabian & Pohlmeier Winfried & Mokinski Frieder, 2011. "Combining Survey Forecasts and Time Series Models: The Case of the Euribor," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 63-81, February.
- Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li, 2018.
"Using the Entire Yield Curve in Forecasting Output and Inflation,"
Econometrics, MDPI, vol. 6(3), pages 1-27, August.
- Tae-Hwy Lee & Eric Hillebrand & Huiyu Huang & Canlin Li, 2018. "Using the Entire Yield Curve in Forecasting Output and Inflation," Working Papers 201903, University of California at Riverside, Department of Economics.
- Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2018. "Quantile forecast combination using stochastic dominance," Empirical Economics, Springer, vol. 55(4), pages 1717-1755, December.
- Charles Rahal, 2015. "Housing Market Forecasting with Factor Combinations," Discussion Papers 15-05, Department of Economics, University of Birmingham.
- Qiu, Yue & Zheng, Yuchen, 2023. "Improving box office projections through sentiment analysis: Insights from regularization-based forecast combinations," Economic Modelling, Elsevier, vol. 125(C).
- Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014.
"An empirical comparison of alternative schemes for combining electricity spot price forecasts,"
Energy Economics, Elsevier, vol. 46(C), pages 395-412.
- Jakub Nowotarski & Eran Raviv & Stefan Trueck & Rafal Weron, 2013. "An empirical comparison of alternate schemes for combining electricity spot price forecasts," HSC Research Reports HSC/13/07, Hugo Steinhaus Center, Wroclaw University of Technology.
- Hayashi, Masayoshi, 2014.
"Forecasting welfare caseloads: The case of the Japanese public assistance program,"
Socio-Economic Planning Sciences, Elsevier, vol. 48(2), pages 105-114.
- Masayoshi Hayashi, 2012. "Forecasting Welfare Caseloads: The Case of the Japanese Public Assistance Program," CIRJE F-Series CIRJE-F-846, CIRJE, Faculty of Economics, University of Tokyo.
- Pysarenko, Sergiy & Alexeev, Vitali & Tapon, Francis, 2019. "Predictive blends: Fundamental Indexing meets Markowitz," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 28-42.
- Buncic, Daniel & Piras, Gion Donat, 2016.
"Heterogeneous agents, the financial crisis and exchange rate predictability,"
Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
- Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
- Qian, Wei & Rolling, Craig A. & Cheng, Gang & Yang, Yuhong, 2022. "Combining forecasts for universally optimal performance," International Journal of Forecasting, Elsevier, vol. 38(1), pages 193-208.
- Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2012.
"Does Forecast Combination Improve Norges Bank Inflation Forecasts?,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 163-179, April.
- Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Does forecast combination improve Norges Bank inflation forecasts?," Working Paper 2009/01, Norges Bank.
- Benjamin Avanzi & Yanfeng Li & Bernard Wong & Alan Xian, 2022. "Ensemble distributional forecasting for insurance loss reserving," Papers 2206.08541, arXiv.org, revised Jun 2024.
- Bec, Frédérique & Mogliani, Matteo, 2015.
"Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
- Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Center for Research in Economics and Statistics.
- Bec, F. & Mogliani, M., 2013. "Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?," Working papers 436, Banque de France.
- Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
- Kathryn S Taylor & James W Taylor, 2022. "Interval forecasts of weekly incident and cumulative COVID-19 mortality in the United States: A comparison of combining methods," PLOS ONE, Public Library of Science, vol. 17(3), pages 1-25, March.
- Conflitti, Cristina & De Mol, Christine & Giannone, Domenico, 2015.
"Optimal combination of survey forecasts,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1096-1103.
- Giannone, Domenico & De Mol, Christine & Conflitti, Cristina, 2012. "Optimal Combination of Survey Forecasts," CEPR Discussion Papers 9096, C.E.P.R. Discussion Papers.
- Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012. "Optimal Combination of Survey Forecasts," Working Papers ECARES ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
- Tae-Hwy Lee & Ekaterina Seregina, 2020.
"Learning from Forecast Errors: A New Approach to Forecast Combination,"
Working Papers
202024, University of California at Riverside, Department of Economics.
- Tae-Hwy Lee & Ekaterina Seregina, 2020. "Learning from Forecast Errors: A New Approach to Forecast Combinations," Papers 2011.02077, arXiv.org, revised May 2021.
- Chen, Yi-Ting & Liu, Chu-An, 2023.
"Model averaging for asymptotically optimal combined forecasts,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
- Yi-Ting Chen & Chu-An Liu, 2021. "Model Averaging for Asymptotically Optimal Combined Forecasts," IEAS Working Paper : academic research 21-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Ramaharo, Franck Maminirina & Rasolofomanana, Gerzhino H, 2023.
"Nowcasting Madagascar's real GDP using machine learning algorithms,"
AfricArxiv
vpuac, Center for Open Science.
- Ramaharo, Franck M. & Rasolofomanana, Gerzhino H., 2023. "Nowcasting Madagascar's real GDP using machine learning algorithms," MPRA Paper 119574, University Library of Munich, Germany.
- Franck Ramaharo & Gerzhino Rasolofomanana, 2023. "Nowcasting Madagascar's real GDP using machine learning algorithms," Papers 2401.10255, arXiv.org.
- Huisman, Ronald & Van der Sar, Nico L. & Zwinkels, Remco C.J., 2021. "Volatility expectations and disagreement," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 379-393.
- Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
- Racine Ly & Fousseini Traore & Khadim Dia, 2021. "Forecasting Commodity Prices Using Long Short-Term Memory Neural Networks," Papers 2101.03087, arXiv.org, revised Jan 2021.
- Blanc, Sebastian M. & Setzer, Thomas, 2016. "When to choose the simple average in forecast combination," Journal of Business Research, Elsevier, vol. 69(10), pages 3951-3962.
- Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2019. "Robust optimization of forecast combinations," International Journal of Forecasting, Elsevier, vol. 35(3), pages 910-926.
- Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.
- Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022.
"Optimal and robust combination of forecasts via constrained optimization and shrinkage,"
International Journal of Forecasting, Elsevier, vol. 38(1), pages 97-116.
- Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2020. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," LIDAM Discussion Papers LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).
- Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2021. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," LIDAM Reprints LFIN 2021014, Université catholique de Louvain, Louvain Finance (LFIN).
- Andrejs Bessonovs, 2015. "Suite of Latvia's GDP forecasting models," Working Papers 2015/01, Latvijas Banka.
- Nima Zarrabi & Stuart Snaith & Jerry Coakley, 2022. "Exchange rate forecasting using economic models and technical trading rules," The European Journal of Finance, Taylor & Francis Journals, vol. 28(10), pages 997-1018, July.
- Takashi Nakazawa, 2022. "Constructing GDP Nowcasting Models Using Alternative Data," Bank of Japan Working Paper Series 22-E-9, Bank of Japan.
- Knüppel, Malte & Krüger, Fabian, 2017.
"Forecast Uncertainty, Disagreement, and Linear Pools of Density Forecasts,"
VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking
168294, Verein für Socialpolitik / German Economic Association.
- Knüppel, Malte & Krüger, Fabian, 2019. "Forecast uncertainty, disagreement, and the linear pool," Discussion Papers 28/2019, Deutsche Bundesbank.
- Li Li & Yanfei Kang & Fotios Petropoulos & Feng Li, 2022. "Feature-based intermittent demand forecast combinations: bias, accuracy and inventory implications," Papers 2204.08283, arXiv.org, revised Aug 2022.
- Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
- Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016.
"The forecast combination puzzle: A simple theoretical explanation,"
International Journal of Forecasting, Elsevier, vol. 32(3), pages 754-762.
- Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2014. "The Forecast Combination Puzzle: A Simple Theoretical Explanation," Tinbergen Institute Discussion Papers 14-127/III, Tinbergen Institute.
- Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2016. "The forecast combination puzzle: a simple theoretical explanation," Working Papers of Department of Decision Sciences and Information Management, Leuven 532152, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
- Diebold, Francis X. & Shin, Minchul, 2019.
"Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1679-1691.
- Francis X. Diebold & Minchul Shin, 2018. "Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives," NBER Working Papers 24967, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Minchul Shin, 2018. "Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives," PIER Working Paper Archive 18-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 17 Aug 2018.
- Zvi Schwartz & Timothy Webb & Jean-Pierre I van der Rest & Larissa Koupriouchina, 2021. "Enhancing the accuracy of revenue management system forecasts: The impact of machine and human learning on the effectiveness of hotel occupancy forecast combinations across multiple forecasting horizo," Tourism Economics, , vol. 27(2), pages 273-291, March.
- Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
- Schanbacher Peter, 2015. "Averaging Across Asset Allocation Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(1), pages 61-81, February.
- Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
- Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022.
"Optimal probabilistic forecasts: When do they work?,"
International Journal of Forecasting, Elsevier, vol. 38(1), pages 384-406.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers 33/20, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & Rub'en Loaiza-Maya & David T. Frazier & Worapree Maneesoonthorn & Andr'es Ram'irez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Papers 2009.09592, arXiv.org.
- Tao Lin & Yiling Chen, 2022. "Sample Complexity of Forecast Aggregation," Papers 2207.13126, arXiv.org, revised Oct 2023.
- Coroneo, Laura & Iacone, Fabrizio & Paccagnini, Alessia & Santos Monteiro, Paulo, 2023.
"Testing the predictive accuracy of COVID-19 forecasts,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 606-622.
- Laura Coroneo & Fabrizio Iacone & Alessia Paccagnini & Paulo Santos Monteiro, 2020. "Testing the predictive accuracy of COVID-19 forecasts," Discussion Papers 20/10, Department of Economics, University of York.
- Laura Coroneo & Fabrizio Iacone & Alessia Paccagnini & Paulo Santos Monteiro, 2021. "Testing the predictive accuracy of COVID-19 forecasts," CAMA Working Papers 2021-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Journal of Commodity Markets, Elsevier, vol. 31(C).
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
- Mark F. J. Steel, 2020.
"Model Averaging and Its Use in Economics,"
Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 81568, University Library of Munich, Germany.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 90110, University Library of Munich, Germany, revised 16 Nov 2018.
- Laurent L. Pauwels & Andrey L. Vasnev, 2017.
"Forecast combination for discrete choice models: predicting FOMC monetary policy decisions,"
Empirical Economics, Springer, vol. 52(1), pages 229-254, February.
- Pauwels, Laurent & Vasnev, Andrey, 2011. "Forecast combination for discrete choice models: predicting FOMC monetary policy decisions," Working Papers 11/2011, University of Sydney Business School, Discipline of Business Analytics.
- David T. Frazier & Ryan Covey & Gael M. Martin & Donald S. Poskitt, 2023.
"Solving the Forecast Combination Puzzle,"
Monash Econometrics and Business Statistics Working Papers
18/23, Monash University, Department of Econometrics and Business Statistics.
- David T. Frazier & Ryan Covey & Gael M. Martin & Donald Poskitt, 2023. "Solving the Forecast Combination Puzzle," Papers 2308.05263, arXiv.org.
- Antoine Mandel & Amir Sani, 2016.
"Learning Time-Varying Forecast Combinations,"
Documents de travail du Centre d'Economie de la Sorbonne
16036r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
- Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Pritularga, Kandrika F. & Svetunkov, Ivan & Kourentzes, Nikolaos, 2021. "Stochastic coherency in forecast reconciliation," International Journal of Production Economics, Elsevier, vol. 240(C).
- Antoine Mandel & Amir Sani, 2017.
"A Machine Learning Approach to the Forecast Combination Puzzle,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-01317974, HAL.
- Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Working Papers halshs-01317974, HAL.
- Kourentzes, Nikolaos & Athanasopoulos, George, 2019.
"Cross-temporal coherent forecasts for Australian tourism,"
Annals of Tourism Research, Elsevier, vol. 75(C), pages 393-409.
- Nikolaos Kourentzes & George Athanasopoulos, 2018. "Cross-temporal coherent forecasts for Australian tourism," Monash Econometrics and Business Statistics Working Papers 24/18, Monash University, Department of Econometrics and Business Statistics.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Moramarco, Graziano, 2024.
"Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 777-795.
- Graziano Moramarco, 2021. "Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States," Papers 2111.00822, arXiv.org, revised Jan 2024.
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"FFORMA: Feature-based forecast model averaging,"
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- Pablo Montero-Manso & George Athanasopoulos & Rob J Hyndman & Thiyanga S Talagala, 2018. "FFORMA: Feature-based forecast model averaging," Monash Econometrics and Business Statistics Working Papers 19/18, Monash University, Department of Econometrics and Business Statistics.
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"Forecast Combinations,"
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"Combining Forecasts from Nested Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
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- Radchenko, Peter & Vasnev, Andrey L. & Wang, Wendun, 2023.
"Too similar to combine? On negative weights in forecast combination,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 18-38.
- Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020. "Too similar to combine? On negative weights in forecast combination," Working Papers BAWP-2020-02, University of Sydney Business School, Discipline of Business Analytics.
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"Conditionally optimal weights and forward-looking approaches to combining forecasts,"
International Journal of Forecasting, Elsevier, vol. 40(4), pages 1734-1751.
- Christopher G. Gibbs & Andrey L. Vasnev, 2017. "Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts," Discussion Papers 2017-10, School of Economics, The University of New South Wales.
- Antonio Martin Arroyo & Aranzazu de Juan Fernandez, 2020. "Split-then-Combine simplex combination and selection of forecasters," Papers 2012.11935, arXiv.org.
- Daud Ali Aser & Esin Firuzan, 2022. "Improving Forecast Accuracy Using Combined Forecasts with Regard to Structural Breaks and ARCH Innovations," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 1-25, December.
- Jing Zeng, 2015. "Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates," Working Paper Series of the Department of Economics, University of Konstanz 2015-11, Department of Economics, University of Konstanz.
- Clements, Adam & Vasnev, Andrey, 2021. "Forecast combination puzzle in the HAR model," Working Papers BAWP-2021-01, University of Sydney Business School, Discipline of Business Analytics.
- Chan, Felix & Pauwels, Laurent L., 2018. "Some theoretical results on forecast combinations," International Journal of Forecasting, Elsevier, vol. 34(1), pages 64-74.
- Lu, Xinjie & Ma, Feng & Xu, Jin & Zhang, Zehui, 2022. "Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012.
"Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle,"
Working Papers
1206, University of Guelph, Department of Economics and Finance.
- Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle," Working Paper series 17_12, Rimini Centre for Economic Analysis.
- Seojeong Lee & Youngki Shin, 2021.
"Complete subset averaging with many instruments,"
The Econometrics Journal, Royal Economic Society, vol. 24(2), pages 290-314.
- Seojeong Lee & Youngki Shin, 2018. "Complete Subset Averaging with Many Instruments," Papers 1811.08083, arXiv.org, revised Aug 2020.
- Graham Elliott, 2017. "Forecast combination when outcomes are difficult to predict," Empirical Economics, Springer, vol. 53(1), pages 7-20, August.
- Makridakis, Spyros & Spiliotis, Evangelos & Assimakopoulos, Vassilios, 2020. "The M4 Competition: 100,000 time series and 61 forecasting methods," International Journal of Forecasting, Elsevier, vol. 36(1), pages 54-74.
- Chanont Banternghansa & Michael W. McCracken, 2011.
"Real-time forecast averaging with ALFRED,"
Review, Federal Reserve Bank of St. Louis, vol. 93(Jan), pages 49-66.
- Chanont Banternghansa & Michael W. McCracken, 2010. "Real-time forecast averaging with ALFRED," Working Papers 2010-033, Federal Reserve Bank of St. Louis.
- Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Evaluating ensemble density combination - forecasting GDP and inflation," Working Paper 2009/19, Norges Bank.
- Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011.
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The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 77-87, January.
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