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A dynamic factor model framework for forecast combination

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  1. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
  2. Hsiao, Cheng & Wan, Shui Ki, 2014. "Is there an optimal forecast combination?," Journal of Econometrics, Elsevier, vol. 178(P2), pages 294-309.
  3. 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.
  4. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
  5. Frank A. G. den Butter & Pieter W. Jansen, 2013. "Beating the random walk: a performance assessment of long-term interest rate forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 749-765, May.
  6. Pennings, Clint L.P. & van Dalen, Jan & Rook, Laurens, 2019. "Coordinating judgmental forecasting: Coping with intentional biases," Omega, Elsevier, vol. 87(C), pages 46-56.
  7. Vortelinos, Dimitrios I., 2017. "Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 824-839.
  8. Uniejewski, Bartosz & Maciejowska, Katarzyna, 2023. "LASSO principal component averaging: A fully automated approach for point forecast pooling," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1839-1852.
  9. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29, January.
  10. Marco Aiolfi & Carlo Ambrogio Favero, "undated". "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  11. Ghysels, Eric & Ball, Ryan & Zhou, Huan, 2014. "Can we Automate Earnings Forecasts and Beat Analysts?," CEPR Discussion Papers 10186, C.E.P.R. Discussion Papers.
  12. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
  13. David Rapach & Jack Strauss, 2010. "Bagging or Combining (or Both)? An Analysis Based on Forecasting U.S. Employment Growth," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 511-533.
  14. Aye, Goodness C. & Balcilar, Mehmet & Gupta, Rangan & Majumdar, Anandamayee, 2015. "Forecasting aggregate retail sales: The case of South Africa," International Journal of Production Economics, Elsevier, vol. 160(C), pages 66-79.
  15. Matsypura, Dmytro & Thompson, Ryan & Vasnev, Andrey L., 2018. "Optimal selection of expert forecasts with integer programming," Omega, Elsevier, vol. 78(C), pages 165-175.
  16. Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics 11140, University of Munich, Department of Economics.
  17. Charalampos Stasinakis & Georgios Sermpinis & Konstantinos Theofilatos & Andreas Karathanasopoulos, 2016. "Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 569-587, April.
  18. Huiyu Huang & Tae-Hwy Lee, 2010. "To Combine Forecasts or to Combine Information?," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 534-570.
  19. Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020. "PCA Forecast Averaging—Predicting Day-Ahead and Intraday Electricity Prices," Energies, MDPI, vol. 13(14), pages 1-19, July.
  20. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
  21. 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.
  22. Francis X. Diebold & Minchul Shin, 2017. "Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts," PIER Working Paper Archive 17-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 20 Aug 2017.
  23. Conflitti, Cristina & De Mol, Christine & Giannone, Domenico, 2015. "Optimal combination of survey forecasts," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1096-1103.
  24. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
  25. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.
  26. Korobilis, Dimitris, 2018. "Machine Learning Macroeconometrics A Primer," Essex Finance Centre Working Papers 22666, University of Essex, Essex Business School.
  27. Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
  28. Are Oust & Simen N. Hansen & Tobias R. Pettrem, 2020. "Combining Property Price Predictions from Repeat Sales and Spatially Enhanced Hedonic Regressions," The Journal of Real Estate Finance and Economics, Springer, vol. 61(2), pages 183-207, August.
  29. Elliott, Graham & Timmermann, Allan, 2004. "Optimal forecast combinations under general loss functions and forecast error distributions," Journal of Econometrics, Elsevier, vol. 122(1), pages 47-79, September.
  30. 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.
  31. 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.
  32. Li, Tianyuan & Chen, Ping, 2024. "Asset allocation combining macro and micro information–Empirical test based on entropy pool model," Finance Research Letters, Elsevier, vol. 64(C).
  33. David E. Rapach & Jack K. Strauss, 2008. "Forecasting US employment growth using forecast combining methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 75-93.
  34. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
  35. Naresh Bansal & Jack Strauss & Alireza Nasseh, 2015. "Can we consistently forecast a firm’s earnings? Using combination forecast methods to predict the EPS of Dow firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(1), pages 1-22, January.
  36. David E. Rapach & Jack K. Strauss, 2005. "Forecasting employment growth in Missouri with many potentially relevant predictors: an analysis of forecast combining methods," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Nov, pages 97-112.
  37. Hsiao, Cheng & Wan, Shui Ki, 2011. "Comparison of forecasting methods with an application to predicting excess equity premium," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1235-1246.
  38. Withers Christopher S. & Nadarajah Saralees, 2011. "Expansions for the risk of Stein type estimates for non-normal data," Statistics & Risk Modeling, De Gruyter, vol. 28(2), pages 81-95, May.
  39. Ji Wu & Xian Cheng & Stephen Shaoyi Liao, 2020. "Tourism forecast combination using the stochastic frontier analysis technique," Tourism Economics, , vol. 26(7), pages 1086-1107, November.
  40. Greenaway-McGrevy, Ryan, 2022. "Forecast combination for VARs in large N and T panels," International Journal of Forecasting, Elsevier, vol. 38(1), pages 142-164.
  41. Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
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