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Making and Evaluating Point Forecasts

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  • Gneiting, Tilmann
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    File URL: http://pubs.amstat.org/doi/abs/10.1198/jasa.2011.r10138
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

    Volume (Year): 106 (2011)
    Issue (Month): 494 ()
    Pages: 746-762

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    Handle: RePEc:bes:jnlasa:v:106:i:494:y:2011:p:746-762

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    Cited by:
    1. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, Open Access Journal, vol. 2(1), pages 25-48, February.
    2. Kalli, Maria & Griffin, Jim E., 2014. "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, vol. 178(2), pages 779-793.
    3. Volker Kr\"atschmer & Alexander Schied & Henryk Z\"ahle, 2014. "Quasi-Hadamard differentiability of general risk functionals and its application," Papers 1401.3167, arXiv.org.
    4. Pierre Pinson, 2014. "Comments on: Space-time wind speed forecasting for improved power system dispatch," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(1), pages 26-29, March.
    5. Knüppel, Malte & Schultefrankenfeld, Guido, 2013. "The Empirical (Ir)Relevance of the Interest Rate Assumption for Central Bank Forecasts," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80042, Verein für Socialpolitik / German Economic Association.
    6. Rockafellar, R.T. & Royset, J.O. & Miranda, S.I., 2014. "Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 234(1), pages 140-154.
    7. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
    8. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
    9. Tsyplakov, Alexander, 2013. "Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments," MPRA Paper 45186, University Library of Munich, Germany.
    10. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
    11. Chavez-Demoulin, V. & Embrechts, P. & Sardy, S., 2014. "Extreme-quantile tracking for financial time series," Journal of Econometrics, Elsevier, vol. 181(1), pages 44-52.
    12. Li, Yushu & Andersson, Jonas, 2014. "A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting," Discussion Papers 2014/12, Department of Business and Management Science, Norwegian School of Economics.
    13. Johanna F. Ziegel, 2013. "Coherence and elicitability," Papers 1303.1690, arXiv.org, revised Mar 2014.
    14. Tsyplakov, Alexander, 2012. "Assessment of probabilistic forecasts: Proper scoring rules and moments," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 115-132.
    15. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
    16. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.

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