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Online forecast combinations of distributions: Worst case bounds

  • Sancetta, Alessio

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4MG6PHC-1/2/0b1d346c4a7c2a73db74930678d6d451
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 141 (2007)
Issue (Month): 2 (December)
Pages: 621-651

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Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:621-651
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. 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.
  2. Diebold, Francis X. & Pauly, Peter, 1990. "The use of prior information in forecast combination," International Journal of Forecasting, Elsevier, vol. 6(4), pages 503-508, December.
  3. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, Elsevier.
  4. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
  5. 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.
  6. László Györfi & Gábor Lugosi, 2000. "Strategies for sequential prediction of stationary time series," Economics Working Papers 507, Department of Economics and Business, Universitat Pompeu Fabra.
  7. Deutsch, Melinda & Granger, Clive W. J. & Terasvirta, Timo, 1994. "The combination of forecasts using changing weights," International Journal of Forecasting, Elsevier, vol. 10(1), pages 47-57, June.
  8. David Hendry & Michael P. Clements, 2001. "Pooling of Forecasts," Economics Papers 2002-W9, Economics Group, Nuffield College, University of Oxford.
  9. Chamberlain, Gary, 2000. "Econometrics and decision theory," Journal of Econometrics, Elsevier, vol. 95(2), pages 255-283, April.
  10. Yang, Yuhong, 2004. "Combining Forecasting Procedures: Some Theoretical Results," Econometric Theory, Cambridge University Press, vol. 20(01), pages 176-222, February.
  11. Nicolo Cesa Bianchi & Gábor Lugosi, 1998. "On prediction of individual sequences," Economics Working Papers 324, Department of Economics and Business, Universitat Pompeu Fabra.
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