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Combining density forecasts

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Cited by:

  1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper 2015/12, Norges Bank.
  2. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
  3. 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.
  4. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
  5. Krüger, Fabian & Nolte, Ingmar, 2016. "Disagreement versus uncertainty: Evidence from distribution forecasts," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 172-186.
  6. 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.
  7. Buncic, Daniel & Müller, Oliver, 2017. "Measuring the output gap in Switzerland with linear opinion pools," Economic Modelling, Elsevier, vol. 64(C), pages 153-171.
  8. Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2017. "Do precious metal prices help in forecasting South African inflation?," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 63-72.
  9. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank.
  10. Pauwels, Laurent & Vasnev, Andrey, 2014. "Forecast combination for U.S. recessions with real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 138-148.
  11. Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  12. Yusupova, Alisa & Pavlidis, Nicos G. & Pavlidis, Efthymios G., 2023. "Dynamic linear models with adaptive discounting," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1925-1944.
  13. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
  14. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
  15. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
  16. Bjørnland, Hilde C. & Ravazzolo, Francesco & Thorsrud, Leif Anders, 2017. "Forecasting GDP with global components: This time is different," International Journal of Forecasting, Elsevier, vol. 33(1), pages 153-173.
  17. 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.
  18. Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2014. "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," CEPR Discussion Papers 10160, C.E.P.R. Discussion Papers.
  19. Gian Luigi Mazzi & James Mitchell & Gaetana Montana, 2014. "Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 233-256, April.
  20. Berg, Tim O. & Henzel, Steffen R., 2015. "Point and density forecasts for the euro area using Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
  21. Davide Pettenuzzo & Allan Timmermann, 2017. "Forecasting Macroeconomic Variables Under Model Instability," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 183-201, April.
  22. Szabolcs Deák & Paul Levine & Afrasiab Mirza & Joseph Pearlman, 2019. "Designing Robust Monetary Policy Using Prediction Pools," School of Economics Discussion Papers 1219, School of Economics, University of Surrey.
  23. Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
  24. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
  25. Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
  26. Pär Österholm, 2009. "Incorporating Judgement in Fan Charts," Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(2), pages 387-415, June.
  27. Geweke, John & Amisano, Gianni, 2011. "Optimal prediction pools," Journal of Econometrics, Elsevier, vol. 164(1), pages 130-141, September.
  28. Taylor, James W., 2020. "Forecast combinations for value at risk and expected shortfall," International Journal of Forecasting, Elsevier, vol. 36(2), pages 428-441.
  29. Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K., 2020. "Partially censored posterior for robust and efficient risk evaluation," Journal of Econometrics, Elsevier, vol. 217(2), pages 335-355.
  30. Martin Scheicher, 2010. "“Return-free risk”? Market pricing in credit risk markets," Research Bulletin, European Central Bank, vol. 11, pages 7-8.
  31. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  32. Čapek, Jan & Crespo Cuaresma, Jesús & Hauzenberger, Niko & Reichel, Vlastimil, 2023. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1820-1838.
  33. Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
  34. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2018. "Combined Density Nowcasting in an Uncertain Economic Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 131-145, January.
  35. Chernis Tony, 2024. "Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 293-317, April.
  36. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019. "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, vol. 60(C), pages 45-68.
  37. Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
  38. Pilar Poncela & Eva Senra, 2017. "Measuring uncertainty and assessing its predictive power in the euro area," Empirical Economics, Springer, vol. 53(1), pages 165-182, August.
  39. Kenny, Geoff & Morgan, Julian, 2011. "Some lessons from the financial crisis for the economic analysis," Occasional Paper Series 130, European Central Bank.
  40. Kolassa, Stephan, 2011. "Combining exponential smoothing forecasts using Akaike weights," International Journal of Forecasting, Elsevier, vol. 27(2), pages 238-251, April.
  41. Richard K. Crump & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Liberty Street Economics 20181004, Federal Reserve Bank of New York.
  42. Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  43. 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.
  44. 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.
  45. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
  46. Thompson, Ryan & Qian, Yilin & Vasnev, Andrey L., 2024. "Flexible global forecast combinations," Omega, Elsevier, vol. 126(C).
  47. He, Yaoyao & Cao, Chaojin & Wang, Shuo & Fu, Hong, 2022. "Nonparametric probabilistic load forecasting based on quantile combination in electrical power systems," Applied Energy, Elsevier, vol. 322(C).
  48. Ferrara, Laurent & Mogliani, Matteo & Sahuc, Jean-Guillaume, 2022. "High-frequency monitoring of growth at risk," International Journal of Forecasting, Elsevier, vol. 38(2), pages 582-595.
  49. Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021. "Focused Bayesian prediction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
  50. Benjamin Avanzi & Yanfeng Li & Bernard Wong & Alan Xian, 2022. "Ensemble distributional forecasting for insurance loss reserving," Papers 2206.08541, arXiv.org, revised Jun 2024.
  51. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 31(72), pages 74-82, December.
  52. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
  53. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2015. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 68(i03).
  54. Wagner Piazza Gaglianone & Luiz Renato Lima, 2014. "Constructing Optimal Density Forecasts From Point Forecast Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 736-757, August.
  55. Hugo Gerard & Kristoffer Nimark, 2008. "Combining multivariate density forecasts using predictive criteria," Economics Working Papers 1117, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008.
  56. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring Output Gap Uncertainty," Birkbeck Working Papers in Economics and Finance 0909, Birkbeck, Department of Economics, Mathematics & Statistics.
  57. Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021. "Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails," JRFM, MDPI, vol. 14(11), pages 1-17, October.
  58. 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.
  59. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Too many skew normal distributions? The practitioner’s perspective," Discussion Papers in Economics 13/07, Division of Economics, School of Business, University of Leicester.
  60. Tsyplakov, Alexander, 2014. "Theoretical guidelines for a partially informed forecast examiner," MPRA Paper 55017, University Library of Munich, Germany.
  61. Lombardi, Marco J. & Ravazzolo, Francesco, 2016. "On the correlation between commodity and equity returns: Implications for portfolio allocation," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
  62. Kenny, Geoff & Morgan, Julian, 2011. "Some lessons from the financial crisis for the economic analysis," Occasional Paper Series 130, European Central Bank.
  63. Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2020. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(531), pages 1092-1110, July.
  64. Conflitti, Cristina & De Mol, Christine & Giannone, Domenico, 2015. "Optimal combination of survey forecasts," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1096-1103.
  65. Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2016. "Evaluating Hedge Funds with Pooled Benchmarks," Management Science, INFORMS, vol. 62(1), pages 69-89, January.
  66. repec:hal:journl:peer-00834423 is not listed on IDEAS
  67. Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
  68. Allayioti, Anastasia & Venditti, Fabrizio, 2024. "The role of comovement and time-varying dynamics in forecasting commodity prices," Working Paper Series 2901, European Central Bank.
  69. Chen, Yi-Ting & Liu, Chu-An, 2023. "Model averaging for asymptotically optimal combined forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
  70. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
  71. Piergiorgio Alessandri & Haroon Mumtaz, 2017. "Financial conditions and density forecasts for US output and inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 24, pages 66-78, March.
  72. Amendola, Alessandra & Christian, Francq, 2009. "Concepts and tools for nonlinear time series modelling," MPRA Paper 15140, University Library of Munich, Germany.
  73. Kenneth Wallis, 2011. "Combining forecasts - forty years later," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 33-41.
  74. Graziano Moramarco, 2021. "Regime-Switching Density Forecasts Using Economists' Scenarios," Papers 2110.13761, arXiv.org, revised Feb 2024.
  75. Tsionas, Mike G., 2022. "Random and Markov switching exponential smoothing models," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
  76. Diebold, Francis X. & Shin, Minchul & Zhang, Boyuan, 2023. "On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates," Journal of Econometrics, Elsevier, vol. 237(2).
  77. Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016. "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405.
  78. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
  79. Christina Anderl & Guglielmo Maria Caporale, 2023. "Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts," Manchester School, University of Manchester, vol. 91(3), pages 171-232, June.
  80. repec:syb:wpbsba:05/2013 is not listed on IDEAS
  81. repec:spo:wpmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l is not listed on IDEAS
  82. Manzan, Sebastiano & Zerom, Dawit, 2013. "Are macroeconomic variables useful for forecasting the distribution of U.S. inflation?," International Journal of Forecasting, Elsevier, vol. 29(3), pages 469-478.
  83. Cang, Shuang & Yu, Hongnian, 2014. "A combination selection algorithm on forecasting," European Journal of Operational Research, Elsevier, vol. 234(1), pages 127-139.
  84. Fabian Krüger & Ingmar Nolte, 2011. "Disagreement, Uncertainty and the True Predictive Density," Working Paper Series of the Department of Economics, University of Konstanz 2011-43, Department of Economics, University of Konstanz.
  85. van der Meer, Dennis & Pinson, Pierre & Camal, Simon & Kariniotakis, Georges, 2024. "CRPS-based online learning for nonlinear probabilistic forecast combination," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1449-1466.
  86. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010. "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper 2010/29, Norges Bank.
  87. Baran, Sándor & Lerch, Sebastian, 2018. "Combining predictive distributions for the statistical post-processing of ensemble forecasts," International Journal of Forecasting, Elsevier, vol. 34(3), pages 477-496.
  88. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
  89. 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.
  90. Victor Lopez-Perez, 2016. "Macroeconomic Forecast Uncertainty In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(1), pages 9-41, March.
  91. Fabian Krüger & Todd E. Clark & Francesco Ravazzolo, 2017. "Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 470-485, July.
  92. Wang, Shengjie & Kang, Yanfei & Petropoulos, Fotios, 2024. "Combining probabilistic forecasts of intermittent demand," European Journal of Operational Research, Elsevier, vol. 315(3), pages 1038-1048.
  93. Kapetanios, G. & Mitchell, J. & Price, S. & Fawcett, N., 2015. "Generalised density forecast combinations," Journal of Econometrics, Elsevier, vol. 188(1), pages 150-165.
  94. Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011. "Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?," Tinbergen Institute Discussion Papers 11-020/4, Tinbergen Institute.
  95. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
  96. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528, April.
  97. Kenichiro McAlinn & Kosaku Takanashi, 2019. "Mean-shift least squares model averaging," Papers 1912.01194, arXiv.org.
  98. Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2012. "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers 12003, Concordia University, Department of Economics.
  99. Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data)," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  100. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
  101. Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2023. "Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 523-537, April.
  102. Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2017. "Euromind‐ D : A Density Estimate of Monthly Gross Domestic Product for the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 683-703, April.
  103. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
  104. Lorenzo Burlon & Simone Emiliozzi & Alessandro Notarpietro & Massimiliano Pisani, 2015. "Medium-term forecasting of euro-area macroeconomic variables with DSGE and BVARX models," Questioni di Economia e Finanza (Occasional Papers) 257, Bank of Italy, Economic Research and International Relations Area.
  105. repec:syb:wpbsba:01/2013 is not listed on IDEAS
  106. Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
  107. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
  108. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
  109. Pauwels, Laurent L. & Vasnev, Andrey L., 2016. "A note on the estimation of optimal weights for density forecast combinations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 391-397.
  110. Angela Abbate & Massimiliano Marcellino, 2018. "Point, interval and density forecasts of exchange rates with time varying parameter models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(1), pages 155-179, January.
  111. Reason Lesego Machete, 2011. "Early Warning with Calibrated and Sharper Probabilistic Forecasts," Papers 1112.6390, arXiv.org, revised Jan 2012.
  112. 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.
  113. Pauwels, Laurent, 2019. "Predicting China’s Monetary Policy with Forecast Combinations," Working Papers BAWP-2019-07, University of Sydney Business School, Discipline of Business Analytics.
  114. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
  115. Boriss Siliverstovs, 2013. "Do business tendency surveys help in forecasting employment?: A real-time evidence for Switzerland," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 129-151.
  116. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2018. "Bayesian Nonparametric Calibration and Combination of Predictive Distributions," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 675-685, April.
  117. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
  118. Kolassa, Stephan, 2011. "Combining exponential smoothing forecasts using Akaike weights," International Journal of Forecasting, Elsevier, vol. 27(2), pages 238-251.
  119. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
  120. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
  121. Martina Hengge, 2019. "Uncertainty as a Predictor of Economic Activity," IHEID Working Papers 19-2019, Economics Section, The Graduate Institute of International Studies.
  122. Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2010. "Combining forecast densities from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 621-634.
  123. 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.
  124. David Jamieson Bolder & Yuliya Romanyuk, 2010. "Combining Canadian Interest Rate Forecasts," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 1, pages 3-30, Palgrave Macmillan.
  125. Fabio Busetti, 2017. "Quantile Aggregation of Density Forecasts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(4), pages 495-512, August.
  126. Tsionas, Mike G., 2021. "Optimal combinations of stochastic frontier and data envelopment analysis models," European Journal of Operational Research, Elsevier, vol. 294(2), pages 790-800.
  127. Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
  128. Herman O. Stekler, 2008. "What Do We Know About G-7 Macro Forecasts?," Working Papers 2008-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
  129. Ho, Paul & Lubik, Thomas A. & Matthes, Christian, 2024. "Averaging impulse responses using prediction pools," Journal of Monetary Economics, Elsevier, vol. 146(C).
  130. Lan Bai & Xiafei Li & Yu Wei & Guiwu Wei, 2022. "Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3694-3712, July.
  131. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2014. "Nowcasting GDP in Real Time: A Density Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 48-68, January.
  132. Stavroula P. Fameliti & Vasiliki D. Skintzi, 2020. "Predictive ability and economic gains from volatility forecast combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 200-219, March.
  133. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
  134. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
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