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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/pii/S0304-4076(06)00209-0
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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. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, Elsevier.
  2. 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.
  3. Nicolo Cesa Bianchi & Gábor Lugosi, 1998. "On prediction of individual sequences," Economics Working Papers 324, Department of Economics and Business, Universitat Pompeu Fabra.
  4. 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.
  5. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
  6. David Hendry & Michael P. Clements, 2001. "Pooling of Forecasts," Economics Papers 2002-W9, Economics Group, Nuffield College, University of Oxford.
  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. Chamberlain, Gary, 2000. "Econometrics and decision theory," Journal of Econometrics, Elsevier, vol. 95(2), pages 255-283, April.
  9. Francis X. Diebold & Peter Pauly, 1987. "The use of prior information in forecast combination," Special Studies Papers 218, Board of Governors of the Federal Reserve System (U.S.).
  10. Yang, Yuhong, 2004. "Combining Forecasting Procedures: Some Theoretical Results," Econometric Theory, Cambridge University Press, vol. 20(01), pages 176-222, February.
  11. 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.
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