Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR ‘Fan’ Charts of Inflation

Citations

Cited by:

1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper 2015/12, Norges Bank.
   • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 15-084/III, Tinbergen Institute, revised 03 Jul 2017.
2. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
3. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
   • Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
4. Enzo D'Innocenzo & André Lucas & Anne Opschoor & Xingmin Zhang, 2024. "Heterogeneity and dynamics in network models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 150-173, January.
5. Clements, Michael P., 2018. "Are macroeconomic density forecasts informative?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 181-198.
   • Michael Clements, 2016. "Are Macroeconomic Density Forecasts Informative?," ICMA Centre Discussion Papers in Finance icma-dp2016-02, Henley Business School, University of Reading.
6. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle in forward looking data," Review of Derivatives Research, Springer, vol. 21(3), pages 253-276, October.
7. 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.
8. Gian Luigi Mazzi & James Mitchell & Gaetana Montana, 2014. "Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 233-256, April.
9. Berg, Tim O. & Henzel, Steffen R., 2015. "Point and density forecasts for the euro area using Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
   • Berg, Tim Oliver & Henzel, Steffen, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79783, Verein für Socialpolitik / German Economic Association.
   • Tim Oliver Berg & Steffen Henzel, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," ifo Working Paper Series 155, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
   • Tim Oliver Berg & Steffen Henzel, 2014. "Point and Density Forecasts for the Euro Area Using Bayesian VARs," CESifo Working Paper Series 4711, CESifo.
10. Michal Franta & David Havrlant & Marek Rusnák, 2016. "Forecasting Czech GDP Using Mixed-Frequency Data Models," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(2), pages 165-185, December.
    • Michal Franta & David Havrlant & Marek Rusnak, 2014. "Forecasting Czech GDP Using Mixed-Frequency Data Models," Working Papers 2014/08, Czech National Bank.
11. Anne Opschoor & André Lucas, 2019. "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers 19-051/IV, Tinbergen Institute.
12. Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
    • Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI), Brussels.
    • Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
    • Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
13. Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
    • Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Business School.
    • Davide Pettenuzzo & Francesco Ravazzolo, 2015. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers No 9/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    • Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
14. Ravazzolo Francesco & Vahey Shaun P., 2014. "Forecast densities for economic aggregates from disaggregate ensembles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 1-15, September.
    • Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast Densities for Economic Aggregates from Disaggregate Ensembles," CAMA Working Papers 2010-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.
15. Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Staff Working Papers 23-61, Bank of Canada.
    • Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Working Papers 23-30, Federal Reserve Bank of Cleveland.
    • Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Papers 2311.12671, arXiv.org.
16. Carlos Díaz, 2018. "Extracting information shocks from the Bank of England inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(3), pages 316-326, April.
    • Carlos Diaz Vela, 2016. "Extracting the Information Shocks from the Bank of England Inflation Density Forecasts," Discussion Papers in Economics 16/13, Division of Economics, School of Business, University of Leicester.
17. Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    • Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
18. Matei Demetrescu & Mu-Chun Wang, 2014. "Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 287-297, April.
19. Jonas Dovern & Alexander Glas & Geoff Kenny, 2023. "Testing for Differences in Survey-Based Density Expectations: A Compositional Data Approach," CESifo Working Paper Series 10256, CESifo.
    • Dovern, Jonas & Glas, Alexander & Kenny, Geoff, 2023. "Testing for differences in survey-based density expectations: a compositional data approach," Working Paper Series 2791, European Central Bank.
    • Dovern, Jonas & Glas, Alexander & Kenny, Geoff, 2023. "Testing for differences in survey-based density expectations: A compositional data approach," Working Papers 39, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
20. Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia, 2013. "Combinación de brechas del producto colombiano," Borradores de Economia 10973, Banco de la Republica.
21. Malte Knüppel & Guido Schultefrankenfeld, 2012. "How Informative Are Central Bank Assessments of Macroeconomic Risks?," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 87-139, September.
    • Knüppel, Malte & Schultefrankenfeld, Guido, 2011. "How informative are central bank assessments of macroeconomic risks?," Discussion Paper Series 1: Economic Studies 2011,13, Deutsche Bundesbank.
22. Sheng, Xin & Gupta, Rangan & Salisu, Afees A. & Bouri, Elie, 2022. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning," Finance Research Letters, Elsevier, vol. 45(C).
    • Xin Sheng & Rangan Gupta & Afees A. Salisu & Elie Bouri, 2021. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning," Working Papers 202101, University of Pretoria, Department of Economics.
23. Lombardi, Marco J. & Ravazzolo, Francesco, 2016. "On the correlation between commodity and equity returns: Implications for portfolio allocation," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
    • Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
24. Galvao, Ana Beatriz & Mitchell, James, 2019. "Measuring Data Uncertainty : An Application using the Bank of England’s “Fan Charts” for Historical GDP Growth," EMF Research Papers 24, Economic Modelling and Forecasting Group.
    • Ana Beatriz Galvão & James Mitchell, 2019. "Measuring Data Uncertainty: An Application using the Bank of England's "Fan Charts" for Historical GDP Growth," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-08, Economic Statistics Centre of Excellence (ESCoE).
25. Knüppel, Malte & Schultefrankenfeld, Guido, 2019. "Assessing the uncertainty in central banks’ inflation outlooks," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1748-1769.
    • Knüppel, Malte & Schultefrankenfeld, Guido, 2018. "Assessing the uncertainty in central banks' inflation outlooks," Discussion Papers 56/2018, Deutsche Bundesbank.
26. Allayioti, Anastasia & Venditti, Fabrizio, 2024. "The role of comovement and time-varying dynamics in forecasting commodity prices," Working Paper Series 2901, European Central Bank.
27. Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2017. "Do precious metal prices help in forecasting South African inflation?," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 63-72.
    • Mehmet Balcilar & NICO KATZKE & Rangan Gupta, 2015. "Do Precious Metal Prices Help in Forecasting South African Inflation?," Working Papers 15-05, Eastern Mediterranean University, Department of Economics.
    • Mehmet Balcilar & Nico Katzke & Rangan Gupta, 2015. "Do Precious Metal Prices Help in Forecasting South African Inflation?," Working Papers 03/2015, Stellenbosch University, Department of Economics.
    • Mehmet Balcilar & Nico Katzke & Rangan Gupta, 2015. "Do Precious Metal Prices Help in Forecasting South African Inflation?," Working Papers 201510, University of Pretoria, Department of Economics.
28. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
    • Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
    • Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
29. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
    • Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights," Tinbergen Institute Discussion Papers 09-061/4, Tinbergen Institute.
    • Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast accuracy and economic gains from Bayesian model averaging using time varying weight," Working Paper 2009/10, Norges Bank.
30. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010. "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper 2010/29, Norges Bank.
    • Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-003/4, Tinbergen Institute.
    • Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combining predictive densities using Bayesian filtering with applications to US economic data," Working Papers 2012_16, Department of Economics, University of Venice "Ca' Foscari".
31. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    • Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper 2009/23, Norges Bank.
32. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    • Galvao, Ana Beatriz & Mitchell, James, 2020. "Real-Time Perceptions of Historical GDP Data Uncertainty," EMF Research Papers 35, Economic Modelling and Forecasting Group.
33. Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011. "Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?," Tinbergen Institute Discussion Papers 11-020/4, Tinbergen Institute.
    • Ardia, David & Lennart, Hoogerheide & Nienke, Corré, 2011. "Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?," MPRA Paper 28259, University Library of Munich, Germany.
34. Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data)," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    • Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2014. "Combining distributions of real-time forecasts: An application to U.S. growth," Research Memorandum 027, Maastricht University, Graduate School of Business and Economics (GSBE).
35. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1596-1609, September.
    • Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute.
    • Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers 08-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    • Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers 2008-23, School of Economics, The University of New South Wales.
    • Cees Diks & Valentyn Panchenko & Dick van Dijk, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Post-Print hal-00732675, HAL.
36. Hoogerheide, Lennart F. & Ardia, David & Corré, Nienke, 2012. "Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?," Economics Letters, Elsevier, vol. 116(3), pages 322-325.
37. Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2017. "Euromind‐ D : A Density Estimate of Monthly Gross Domestic Product for the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 683-703, April.
    • Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers 2015-12, Department of Economics and Business Economics, Aarhus University.
    • Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CEIS Research Paper 340, Tor Vergata University, CEIS, revised 10 Apr 2015.
    • Proietti, Tommaso & Marczak, Martyna & Mazzi, Gianluigi, 2015. "EuroMInd-D: A density estimate of monthly gross domestic product for the euro area," Hohenheim Discussion Papers in Business, Economics and Social Sciences 03-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
38. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
39. M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
40. Boriss Siliverstovs, 2013. "Do business tendency surveys help in forecasting employment?: A real-time evidence for Switzerland," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 129-151.
41. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
42. Paul Labonne, 2022. "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-23, Economic Statistics Centre of Excellence (ESCoE).
43. Kolasa, Marcin & Rubaszek, Michał, 2015. "Forecasting using DSGE models with financial frictions," International Journal of Forecasting, Elsevier, vol. 31(1), pages 1-19.
    • Michał Rubaszek & Marcin Kolasa, 2013. "Forecasting with DSGE models with financial frictions," EcoMod2013 5100, EcoMod.
    • Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
44. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
45. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.
46. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
    • Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
    • Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers 08-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
47. Andres Trujillo-Barrera & Philip Garcia & Mindy L Mallory, 2018. "Short-term price density forecasts in the lean hog futures market," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 45(1), pages 121-142.
48. Zdeněk Zmeškal & Dana Dluhošová & Karolina Lisztwanová & Antonín Pončík & Iveta Ratmanová, 2023. "Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy," Forecasting, MDPI, vol. 5(2), pages 1-19, May.
49. Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2010. "Combining forecast densities from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 621-634.
    • Anne-Sofie Jore & James Mitchell & Shaun P. Vahey, 2008. "Combining forecast densities from VARs with uncertain instabilities," Working Paper 2008/01, Norges Bank.
    • Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008. "Combining Forecast Densities from VARs with Uncertain Instabilities," Reserve Bank of New Zealand Discussion Paper Series DP2008/18, Reserve Bank of New Zealand.
50. David Jamieson Bolder & Yuliya Romanyuk, 2010. "Combining Canadian Interest Rate Forecasts," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 1, pages 3-30, Palgrave Macmillan.
    • David Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
51. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Probability Forecasting for Inflation Warnings from the Federal Reserve," EMF Research Papers 07, Economic Modelling and Forecasting Group.
52. Pär Österholm, 2009. "Incorporating Judgement in Fan Charts," Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(2), pages 387-415, June.
    • Pär Österholm, 2006. "Incorporating judgement in fan charts," Finance and Economics Discussion Series 2006-39, Board of Governors of the Federal Reserve System (U.S.).
    • Österholm, Pär, 2006. "Incorporating Judgement in Fan Charts," Working Paper Series 2006:30, Uppsala University, Department of Economics.
53. Jie Cheng, 2023. "Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies," Empirical Economics, Springer, vol. 65(2), pages 899-924, August.
54. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2014. "Nowcasting GDP in Real Time: A Density Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 48-68, January.
    • Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in Real-Time: A Density Combination Approach," Working Papers No 1/2011, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    • Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
55. Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
    • Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
56. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Measuring output gap nowcast uncertainty," International Journal of Forecasting, Elsevier, vol. 30(2), pages 268-279.
    • Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011. "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers 2011-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Garratt, Anthony & Mitchell, James & Vahey, Shaun, 2013. "Measuring Output Gap Nowcast Uncertainty," EMF Research Papers 01, Economic Modelling and Forecasting Group.
57. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
58. Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
59. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    • Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," International Association of Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    • Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018. "A scoring rule for factor and autoregressive models under misspecification," Working Papers 2018:18, Department of Economics, University of Venice "Ca' Foscari".
60. Diks, Cees & Fang, Hao, 2020. "Comparing density forecasts in a risk management context," International Journal of Forecasting, Elsevier, vol. 36(2), pages 531-551.
61. Smith, Michael Stanley & Shively, Thomas S., 2018. "Econometric modeling of regional electricity spot prices in the Australian market," Energy Economics, Elsevier, vol. 74(C), pages 886-903.
    • Michael Stanley Smith & Thomas S. Shively, 2018. "Econometric Modeling of Regional Electricity Spot Prices in the Australian Market," Papers 1804.08218, arXiv.org.
62. Malte Knüppel, 2015. "Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 270-281, April.
    • Knüppel, Malte, 2011. "Evaluating the calibration of multi-step-ahead density forecasts using raw moments," Discussion Paper Series 1: Economic Studies 2011,32, Deutsche Bundesbank.
63. Roberto Casarin & Giulia Mantoan & Francesco Ravazzolo, 2016. "Bayesian Calibration of Generalized Pools of Predictive Distributions," Econometrics, MDPI, vol. 4(1), pages 1-24, March.
64. Marc-Oliver Pohle, 2020. "The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation," Papers 2005.01835, arXiv.org.
65. Meng, Fanyi & Liu, Li, 2019. "Analyzing the economic sources of oil price volatility: An out-of-sample perspective," Energy, Elsevier, vol. 177(C), pages 476-486.
66. Meade, Nigel, 2010. "Oil prices -- Brownian motion or mean reversion? A study using a one year ahead density forecast criterion," Energy Economics, Elsevier, vol. 32(6), pages 1485-1498, November.
67. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(72), pages 74-82, December.
    • Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 31(72), pages 74-82, December.
    • Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia, 2013. "Combinación de brechas del producto colombiano," Borradores de Economia 775, Banco de la Republica de Colombia.
68. Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
69. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
70. repec:ctc:serie1:def10 is not listed on IDEAS
71. Salisu, Afees A. & Tchankam, Jean Paul, 2022. "US Stock return predictability with high dimensional models," Finance Research Letters, Elsevier, vol. 45(C).
72. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2017. "Density Forecasts With Midas Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 783-801, June.
    • Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Paper 2014/10, Norges Bank.
    • Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Papers No 3/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
73. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2018. "Combined Density Nowcasting in an Uncertain Economic Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 131-145, January.
    • Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an Uncertain Economic Environment," Tinbergen Institute Discussion Papers 14-152/III, Tinbergen Institute.
    • Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an uncertain economic environment," Working Paper 2014/17, Norges Bank.
74. Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Evaluating ensemble density combination - forecasting GDP and inflation," Working Paper 2009/19, Norges Bank.
75. Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková, 2014. "Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 159-188, March.
76. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
    • Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
77. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.
78. Opschoor, Anne & Lucas, André, 2023. "Time-varying variance and skewness in realized volatility measures," International Journal of Forecasting, Elsevier, vol. 39(2), pages 827-840.
79. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
80. Monticini, Andrea & Ravazzolo, Francesco, 2014. "Forecasting the intraday market price of money," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 304-315.
    • Andrea Monticini & Francesco Ravazzolo, 2011. "Forecasting the intraday market price of money," Working Paper 2011/06, Norges Bank.
    • Andrea Monticini & Francesco Ravazzolo, 2014. "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza def010, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
81. Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013. "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 87-111.
82. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
83. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
84. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
85. Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
86. Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," Working Paper series 23-11, Rimini Centre for Economic Analysis.
87. Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.
    • Ricardo Crisóstomo & Lorena Couso, 2017. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    • Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.
88. Thomas Lux & Jaba Ghonghadze, 2011. "Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach," Post-Print hal-00711445, HAL.
89. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring Output Gap Uncertainty," Birkbeck Working Papers in Economics and Finance 0909, Birkbeck, Department of Economics, Mathematics & Statistics.
    • Dr. James Mitchell, 2009. "Measuring Output Gap Uncertainty," National Institute of Economic and Social Research (NIESR) Discussion Papers 342, National Institute of Economic and Social Research.
    • Garratt, Anthony & Vahey, Shaun & Mitchell, James, 2010. "Measuring Output Gap Uncertainty," CEPR Discussion Papers 7742, C.E.P.R. Discussion Papers.
    • Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring output gap uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2009/15, Reserve Bank of New Zealand.
90. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
91. Ida Wolden Bache & James Mitchell & Francesco Ravazzolo & Shaun P. Vahey, 2009. "Macro modelling with many models," Working Paper 2009/15, Norges Bank.
    • Dr. James Mitchell, 2009. "Macro Modelling with Many Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 337, National Institute of Economic and Social Research.
92. Fabio Busetti & Michele Caivano & Lisa Rodano, 2015. "On the conditional distribution of euro area inflation forecast," Temi di discussione (Economic working papers) 1027, Bank of Italy, Economic Research and International Relations Area.
93. Gelain, Paolo & Iskrev, Nikolay & J. Lansing, Kevin & Mendicino, Caterina, 2019. "Inflation dynamics and adaptive expectations in an estimated DSGE model," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 258-277.
94. Brentnall, Adam R. & Crowder, Martin J. & Hand, David J., 2010. "Predictive-sequential forecasting system development for cash machine stocking," International Journal of Forecasting, Elsevier, vol. 26(4), pages 764-776, October.
95. repec:hal:journl:peer-00834423 is not listed on IDEAS
96. Yang, Dazhi & van der Meer, Dennis, 2021. "Post-processing in solar forecasting: Ten overarching thinking tools," Renewable and Sustainable Energy Reviews, Elsevier, vol. 140(C).
97. Kenneth Wallis, 2011. "Combining forecasts - forty years later," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 33-41.
98. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
99. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
    • Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2022. "A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-053/III, Tinbergen Institute.
100. Manzan, Sebastiano & Zerom, Dawit, 2009. "Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?," MPRA Paper 14387, University Library of Munich, Germany.
101. Victor Lopez-Perez, 2016. "Macroeconomic Forecast Uncertainty In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(1), pages 9-41, March.
102. Garratt, Anthony & Mise, Emi, 2014. "Forecasting exchange rates using panel model and model averaging," Economic Modelling, Elsevier, vol. 37(C), pages 32-40.
103. Mitchell, James, 2013. "The Recalibrated and Copula Opinion Pools," EMF Research Papers 02, Economic Modelling and Forecasting Group.
104. Meade, N. & Beasley, J.E. & Adcock, C.J., 2021. "Quantitative portfolio selection: Using density forecasting to find consistent portfolios," European Journal of Operational Research, Elsevier, vol. 288(3), pages 1053-1067.
     • N. Meade & J. E. Beasley & C. J. Adcock, 2019. "Quantitative portfolio selection: using density forecasting to find consistent portfolios," Papers 1908.08442, arXiv.org, revised Jun 2020.
105. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
106. Tae-Hwy Lee & Yong Bao & Burak Saltoğlu, 2007. "Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003;," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 203-225.
107. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2019. "Forecast density combinations with dynamic learning for large data sets in economics and finance," Working Paper 2019/7, Norges Bank.
     • Roberto Casarin & Stefano Grassi & Francesco Ravazzollo & Herman K. van Dijk, 2019. "Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 19-025/III, Tinbergen Institute.
108. Fabio Busetti, 2017. "Quantile Aggregation of Density Forecasts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(4), pages 495-512, August.
     • Fabio Busetti, 2014. "Quantile aggregation of density forecasts," Temi di discussione (Economic working papers) 979, Bank of Italy, Economic Research and International Relations Area.
109. Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
     • Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
110. Herman O. Stekler, 2008. "What Do We Know About G-7 Macro Forecasts?," Working Papers 2008-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
111. Ilmari Juutilainen & Juha Roning, 2010. "How to compare interpretatively different models for the conditional variance function," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(6), pages 983-997.
112. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
     • Garratt, Anthony & Petrella, Ivan, 2019. "Commodity Prices and Inflation Risk," EMF Research Papers 23, Economic Modelling and Forecasting Group.
113. Xiao-Ming Li & Qing Xu, 2007. "Evaluating density forecasts of the model with a conditional skewed-t distribution for China's stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(3), pages 213-227.
114. Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013. "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers 13-060/III, Tinbergen Institute, revised 06 Mar 2014.
115. Timo Henckel & Shaun Vahey & Liz Wakerly, 2011. "Probabilistic interest rate setting with a shadow board: A description of the pilot project," CAMA Working Papers 2011-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
116. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
117. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks, Reserve Bank of Australia.
118. Dr. James Mitchell, 2008. "Evaluating Density Forecasts: Forecast Combinations, Model Mixtures, Calibration and Sharpness," National Institute of Economic and Social Research (NIESR) Discussion Papers 320, National Institute of Economic and Social Research.
119. Ravazzolo Francesco & Rothman Philip, 2016. "Oil-price density forecasts of US GDP," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 441-453, September.
     • Francesco Ravazzolo & Philip Rothman, 2015. "Oil-Price Density Forecasts of U.S. GDP," Working Papers No 10/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
120. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
121. Cobb, Marcus P A, 2017. "Aggregate Density Forecasting from Disaggregate Components Using Large VARs," MPRA Paper 76849, University Library of Munich, Germany.
122. Li Liu & Zhiyuan Pan & Yudong Wang, 2021. "What can we learn from the return predictability over the business cycle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 108-131, January.
123. Tsuchiya, Yoichi, 2022. "Evaluating the European Central Bank’s uncertainty forecasts," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 321-330.
124. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
125. Huurman, Christian & Ravazzolo, Francesco & Zhou, Chen, 2012. "The power of weather," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3793-3807.