Recursive Forecast Combination For Dependent Heterogeneous Data
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- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2015. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 5468, CESifo Group Munich.
- Gang Cheng & Sicong Wang & Yuhong Yang, 2015. "Forecast Combination under Heavy-Tailed Errors," Econometrics, MDPI, Open Access Journal, vol. 3(4), pages 1-28, November.
- 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.
- Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
- Yongchen Zhao, 2015.
"Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms,"
2015-005, The George Washington University, Department of Economics, Research Program on Forecasting.
- Yongchen Zhao, 2015. "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers 2015-04, Towson University, Department of Economics, revised Dec 2015.
- Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317974, HAL.
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