Theory-coherent forecasting
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DOI: 10.1016/j.jeconom.2014.04.014
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Citations
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Cited by:
- Konstantinos Metaxoglou & Davide Pettenuzzo & Aaron Smith, 2019.
"Option-Implied Equity Premium Predictions via Entropic Tilting,"
Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(4), pages 559-586.
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International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
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More about this item
Keywords
Density forecast; Forecast evaluation; Semiparametric projections; Exponential titling;JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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