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Citations for "Density Forecasting: A Survey"

by Anthony Tay & Kenneth F. Wallis

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  1. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models," IMF Working Papers 03/111, International Monetary Fund.
  2. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
  3. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
  4. David Reifschneider & Peter Tulip, 2007. "Gauging the uncertainty of the economic outlook from historical forecasting errors," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2007-60, Board of Governors of the Federal Reserve System (U.S.).
  5. Keen Meng Choy & Kenneth Leong & Anthony S. Tay, 2003. "Non-Fundamental Expectations and Economic Fluctuations: Evidence from Professional Forecasts," Departmental Working Papers, National University of Singapore, Department of Economics wp0306, National University of Singapore, Department of Economics.
  6. Giacomini, Raffaella & Haefke, Christian & White, Halbert & Gottschling, Andreas, 2002. "Hypernormal Densities," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt9wr373nt, Department of Economics, UC San Diego.
  7. Yongmiao Hong & Haitao Li & Feng Zhao, 2013. "Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei," Papers 2013-10-14, Working Paper.
  8. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005. "Bootstrap prediction intervals for power-transformed time series," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(2), pages 219-235.
  9. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011. "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws111813, Universidad Carlos III, Departamento de Estadística y Econometría.
  10. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2004/479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  11. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 343-352.
  12. Elliott, Graham & Timmermann, Allan, 2004. "Optimal forecast combinations under general loss functions and forecast error distributions," Journal of Econometrics, Elsevier, Elsevier, vol. 122(1), pages 47-79, September.
  13. Pérez Quirós, Gabriel & Timmermann, Allan, 2001. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series, European Central Bank 0058, European Central Bank.
  14. Pierre L Siklos, 2010. "Relative Price Shocks, Inflation Expectations, and the Role of Monetary Policy," RBA Annual Conference Volume, Reserve Bank of Australia, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  15. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 736-776, December.
  16. Clements, Michael P, 2012. "Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation," The Warwick Economics Research Paper Series (TWERPS) 976, University of Warwick, Department of Economics.
  17. Chevallier, Julien & Ielpo, Florian & Sévi, Benoît, 2011. "Do jumps help in forecasting the density of returns?," Economics Papers from University Paris Dauphine 123456789/6805, Paris Dauphine University.
  18. Gary Koop & Luca Onorante, 2011. "Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters," Working Papers, University of Strathclyde Business School, Department of Economics 1109, University of Strathclyde Business School, Department of Economics.
  19. G. Ascari & E. Marrocu, 2003. "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS 200307, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  20. Francisco B. Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2013-55, Board of Governors of the Federal Reserve System (U.S.).
  21. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2007. "Practical Volatility Modeling for Financial Market Risk Management," MPRA Paper 9790, University Library of Munich, Germany, revised 15 May 2008.
  22. Wallis, Kenneth F., 2001. "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series, European Central Bank 0083, European Central Bank.
  23. Li, Yushu & Andersson, Jonas, 2014. "A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2014/12, Department of Business and Management Science, Norwegian School of Economics.
  24. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011. "Multivariate semi-nonparametric distributions with dynamic conditional correlations," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(2), pages 347-364.
  25. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, BANCO DE LA REPÚBLICA - ESPE.
  26. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier, Elsevier.
  27. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(1), pages 1-13.
  28. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 142-157, September.
  29. Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 11/11, Monash University, Department of Econometrics and Business Statistics.
  30. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 86, Oesterreichische Nationalbank (Austrian Central Bank).
  31. Giorgio Valente & Lucio Sarno, 2004. "Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts," Working Papers, Warwick Business School, Finance Group wp04-10, Warwick Business School, Finance Group.
  32. Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 3286-3294.
  33. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008. "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper 13662, University Library of Munich, Germany.
  34. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
  35. Dario Rukelj & Barbara Ulloa, 2011. "Incorporating uncertainties into economic forecasts: an application to forecasting economic activity in Croatia," Financial Theory and Practice, Institute of Public Finance, Institute of Public Finance, vol. 35(2), pages 140-170.
  36. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Inflation fan charts, monetary policy and skew normal distribution," Discussion Papers in Economics 13/06, Department of Economics, University of Leicester.
  37. Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003. "The out-of-sample success of term structure models as exchange rate predictors: a step beyond," Journal of International Economics, Elsevier, Elsevier, vol. 60(1), pages 61-83, May.
  38. Koop, Gary & Onorante, Luca, 2011. "Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2011-19, Scottish Institute for Research in Economics (SIRE).
  39. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, Elsevier, vol. 24(4), pages 435-468, December.
  40. Dong Jin Lee, 2009. "Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process," Working papers, University of Connecticut, Department of Economics 2009-26, University of Connecticut, Department of Economics.
  41. Matteo Luciani & Libero Monteforte, 2013. "Uncertainty and heterogeneity in factor models forecasting," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 930, Bank of Italy, Economic Research and International Relations Area.
  42. van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  43. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series, European Central Bank 1185, European Central Bank.
  44. Wojciech Charemza & Carlos Diaz & Svetlana Makarova, 2014. "Term Structure Of Inflation Forecast Uncertainties And Skew Normal Distributions," Discussion Papers in Economics 14/01, Department of Economics, University of Leicester.
  45. Izquierdo, Segismundo S. & Hernández, Cesáreo & del Hoyo, Juan, 2006. "Forecasting VARMA processes using VAR models and subspace-based state space models," MPRA Paper 4235, University Library of Munich, Germany.
  46. repec:syb:wpbsba:01/2013 is not listed on IDEAS
  47. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  48. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers, European University Institute ECO2007/11, European University Institute.
  49. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers, University of Brescia, Department of Economics ubs0504, University of Brescia, Department of Economics.
  50. Lorenzo Pascual & Esther Ruiz & Diego Fresoli, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws113426, Universidad Carlos III, Departamento de Estadística y Econometría.
  51. Boero, Gianna & Marrocu, Emanuela, 2003. "The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," The Warwick Economics Research Paper Series (TWERPS) 663, University of Warwick, Department of Economics.
  52. Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(2), pages 151-166.
  53. Michael P. Clements & David F. Hendry, 2005. "Guest Editors' Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
  54. Athanasopoulos, George & Hyndman, Rob J. & Song, Haiyan & Wu, Doris C., 2011. "The tourism forecasting competition," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(3), pages 822-844, July.
  55. Michal Franta, 2013. "The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts," Working Papers, Czech National Bank, Research Department 2013/09, Czech National Bank, Research Department.
  56. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, Elsevier, vol. 135(1-2), pages 377-398.
  57. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(2), pages 363-372.
  58. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics, EconWPA 0403005, EconWPA.
  59. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 443-473.
  60. Prakash Kannan & Selim Elekdag, 2009. "Incorporating Market Information Into the Construction of the Fan Chart," IMF Working Papers 09/178, International Monetary Fund.
  61. repec:wyi:journl:002081 is not listed on IDEAS
  62. Francisco Peñaranda, 2003. "Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24857, London School of Economics and Political Science, LSE Library.
  63. Harvey, David I. & Newbold, Paul, 2003. "The non-normality of some macroeconomic forecast errors," International Journal of Forecasting, Elsevier, Elsevier, vol. 19(4), pages 635-653.
  64. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 475-492.
  65. González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 328-342.
  66. Arroyo, Javier & Maté, Carlos, 2009. "Forecasting histogram time series with k-nearest neighbours methods," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(1), pages 192-207.
  67. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.