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To Combine Forecasts or to Combine Information?

Citations

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Cited by:

  1. Özen, Kadir & Yıldırım, Dilem, 2021. "Application of bagging in day-ahead electricity price forecasting and factor augmentation," Energy Economics, Elsevier, vol. 103(C).
  2. Marine Carrasco & Barbara Rossi, 2016. "In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
  3. 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.
  4. Hsiao, Cheng & Wan, Shui Ki, 2014. "Is there an optimal forecast combination?," Journal of Econometrics, Elsevier, vol. 178(P2), pages 294-309.
  5. 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.
  6. Ali B. Barlas & Seda Guler Mert & Berk Orkun Isa & Alvaro Ortiz & Tomasa Rodrigo & Baris Soybilgen & Ege Yazgan, 2024. "Big data financial transactions and GDP nowcasting: The case of Turkey," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 227-248, March.
  7. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2018. "Quantile forecast combination using stochastic dominance," Empirical Economics, Springer, vol. 55(4), pages 1717-1755, December.
  8. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
  9. WAN, Shui-Ki & WANG, Shin-Huei & WOO, Chi-Keung, 2012. "Total tourist arrival forecast: aggregation vs. disaggregation," LIDAM Discussion Papers CORE 2012039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
  11. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
  12. Erik Hillebrand & Tae-Hwy Lee & Marcelo Cunha Medeiros, 2012. "Let´s do it again: bagging equity premium predictors," Textos para discussão 604, Department of Economics PUC-Rio (Brazil).
  13. 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.
  14. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
  15. Wang, Cindy S.H. & Fan, Rui & Xie, Yiqiang, 2023. "Market systemic risk, predictability and macroeconomics news," Finance Research Letters, Elsevier, vol. 56(C).
  16. 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.
  17. Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021. "Augmented factor models with applications to validating market risk factors and forecasting bond risk premia," Journal of Econometrics, Elsevier, vol. 222(1), pages 269-294.
  18. Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
  19. Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
  20. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
  21. Alessandro Girardi & Roberto Golinelli & Carmine Pappalardo, 2017. "The role of indicator selection in nowcasting euro-area GDP in pseudo-real time," Empirical Economics, Springer, vol. 53(1), pages 79-99, August.
  22. Bartosz Uniejewski & Katarzyna Maciejowska, 2022. "LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling," Papers 2207.04794, arXiv.org.
  23. 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.
  24. Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
  25. Kadir Özen & Dilem Yıldırım, 2021. "Application of Bagging in Day-Ahead Electricity Price Forecasting and Factor Augmentation," ERC Working Papers 2101, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
  26. Cem Cakmakli & Dick van Dijk, 2010. "Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility," Tinbergen Institute Discussion Papers 10-115/4, Tinbergen Institute.
  27. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Working Papers halshs-01317974, HAL.
  28. Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
  29. 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.
  30. Byron Botha & Geordie Reid & Tim Olds & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Nowcasting South African GDP using a suite of statistical models," Working Papers 11001, South African Reserve Bank.
  31. 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.
  32. Tae-Hwy Lee & Eric Hillebrand & Marcelo Medeiros, 2014. "Bagging Constrained Equity Premium Predictors," Working Papers 201421, University of California at Riverside, Department of Economics, revised Feb 2013.
  33. Yaojie Zhang & Yudong Wang & Feng Ma, 2021. "Forecasting US stock market volatility: How to use international volatility information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 733-768, August.
  34. Sebastiano Manzan, 2015. "Forecasting the Distribution of Economic Variables in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 144-164, January.
  35. Eric Hillebrand & Tae-Hwy Lee, 2012. "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," Advances in Econometrics, in: 30th Anniversary Edition, pages 171-196, Emerald Group Publishing Limited.
  36. 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.
  37. Huiyu Huang & Tae-Hwy Lee, 2013. "Forecasting Value-at-Risk Using High-Frequency Information," Econometrics, MDPI, vol. 1(1), pages 1-14, June.
  38. Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2015. "On the Forecast Combination Puzzle," Papers 1505.00475, arXiv.org.
  39. Ali B. Barlas & Seda Guler Mert & Berk Orkun Isa & Alvaro Ortiz & Tomasa Rodrigo & Baris Soybilgen & Ege Yazgan, 2021. "Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkey," Papers 2107.03299, arXiv.org.
  40. 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.
  41. Yang, Ke & Tian, Fengping & Chen, Langnan & Li, Steven, 2017. "Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 276-291.
  42. Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2019. "On the Forecast Combination Puzzle," Econometrics, MDPI, vol. 7(3), pages 1-26, September.
  43. Tae-Hwy Lee & Zhou Xi & Ru Zhang, 2013. "Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks," Working Papers 201422, University of California at Riverside, Department of Economics, revised Apr 2012.
  44. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
  45. Soybilgen, Barış & Yazgan, Ege, 2018. "Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate," Economic Modelling, Elsevier, vol. 72(C), pages 99-108.
  46. François Robin, 2018. "Use of Google Trends Data in Banque de France Monthly Retail Trade Surveys," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 505-506, pages 35-63.
  47. Byron Botha & Tim Olds & Geordie Reid & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Nowcasting South African gross domestic product using a suite of statistical models," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 526-554, December.
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