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Citations for "Density Forecasting: A Survey"

by Anthony Tay & Kenneth F. Wallis

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  1. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers.
  2. Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Two maxentropic approaches to determine the probability density of compound risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 42-53.
  3. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
  4. Matteo Luciani & Libero Monteforte, 2013. "Uncertainty and heterogeneity in factor models forecasting," Temi di discussione (Economic working papers) 930, Bank of Italy, Economic Research and International Relations Area.
  5. G. Ascari & E. Marrocu, 2003. "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS 200307, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  6. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Papers 0021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  7. Wallis, Kenneth F., 2003. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 165-175.
  8. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
  9. Michael P. Clements & David F. Hendry, 2005. "Guest Editors' Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
  10. Keen Meng Choy & Kenneth Leong & Anthony S. Tay, 2003. "Non-Fundamental Expectations and Economic Fluctuations: Evidence from Professional Forecasts," Departmental Working Papers wp0306, National University of Singapore, Department of Economics.
  11. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  12. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
  13. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics.
  14. Elliott, Graham & Timmermann, Allan, 2002. "Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions," University of California at San Diego, Economics Working Paper Series qt15r9t2q2, Department of Economics, UC San Diego.
  15. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
  16. 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.
  17. Giacomini, Raffaella & Haefke, Christian & White, Halbert & Gottschling, Andreas, 2002. "Hypernormal Densities," University of California at San Diego, Economics Working Paper Series qt9wr373nt, Department of Economics, UC San Diego.
  18. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, EconWPA.
  19. Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers 11/11, Monash University, Department of Econometrics and Business Statistics.
  20. Wojciech Charemza & Carlos Díaz & Svetlana Makarova, 2015. "Conditional Term Structure of Inflation Forecast Uncertainty: The Copula Approach," Discussion Papers in Economics 15/07, Department of Economics, University of Leicester.
  21. 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.
  22. Arroyo, Javier & Maté, Carlos, 2009. "Forecasting histogram time series with k-nearest neighbours methods," International Journal of Forecasting, Elsevier, vol. 25(1), pages 192-207.
  23. Perez-Quiros, Gabriel & Timmermann, Allan, 2001. "Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 259-306, July.
  24. Koop, Gary & Onorante, Luca, 2012. "Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters," Working Paper Series 1422, European Central Bank.
  25. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  26. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008. "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper 13662, University Library of Munich, Germany.
  27. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
  28. Dario Rukelj & Barbara Ulloa, 2011. "Incorporating uncertainties into economic forecasts: an application to forecasting economic activity in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 35(2), pages 140-170.
  29. Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 151-166.
  30. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  31. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(72), pages 74-82, Diciembre.
  32. Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012. "Optimal Combination of Survey Forecasts," Working Papers ECARES ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
  33. Valeriu Nalban, 2015. "Do Bayesian Vector Autoregressive models improve density forecasting accuracy? The case of the Czech Republic and Romania," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(1), pages 60-74, March.
  34. van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  35. Izquierdo, Segismundo S. & Hernández, Cesáreo & del Hoyo, Juan, 2006. "Forecasting VARMA processes using VAR models and subspace-based state space models," MPRA Paper 4235, University Library of Munich, Germany.
  36. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
  37. Francisco B. Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
  38. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
  39. Boero, Gianna & Marrocu, Emanuela, 2003. "The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," The Warwick Economics Research Paper Series (TWERPS) 663, University of Warwick, Department of Economics.
  40. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
  41. Wojciech Charemza & Carlos Díaz & Svetlana Makarova, 2015. "Ex-post Inflation Forecast Uncertainty and Skew Normal Distribution: ‘Back from the Future’ Approach," Discussion Papers in Economics 15/09, Department of Economics, University of Leicester.
  42. Clements, Michael P., 2014. "Probability distributions or point predictions? Survey forecasts of US output growth and inflation," International Journal of Forecasting, Elsevier, vol. 30(1), pages 99-117.
  43. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  44. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series 479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  45. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  46. González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
  47. repec:syb:wpbsba:01/2013 is not listed on IDEAS
  48. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
  49. Benedikt Rotermann & Bernd Wilfling, 2015. "Estimating rational stock-market bubbles with sequential Monte Carlo methods," CQE Working Papers 4015, Center for Quantitative Economics (CQE), University of Muenster.
  50. Lorenzo Pascual & Juan Romo & Esther Ruiz, 2001. "Bootstrap Prediction Intervals For Power-Transformed Time Series," Statistics and Econometrics Working Papers ws010503, Universidad Carlos III, Departamento de Estadística y Econometría.
  51. Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3286-3294.
  52. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
  53. Roberto Casarin & Federico Bassetti & Francesco Ravazzolo, 2015. "Bayesian Nonparametric Calibration and Combination of Predictive Distributions," Working Papers 2015:04, Department of Economics, University of Venice "Ca' Foscari".
  54. Chevallier, Julien & Ielpo, Florian & Sévi, Benoît, 2011. "Do jumps help in forecasting the density of returns?," Economics Papers from University Paris Dauphine 123456789/6805, Paris Dauphine University.
  55. Francisco Peñaranda, 2003. "Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty," LSE Research Online Documents on Economics 24857, London School of Economics and Political Science, LSE Library.
  56. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2007. "Practical Volatility Modeling for Financial Market Risk Management," MPRA Paper 9790, University Library of Munich, Germany, revised 15 May 2008.
  57. Brandt, Patrick T. & Freeman, John R. & Schrodt, Philip A., 2014. "Evaluating forecasts of political conflict dynamics," International Journal of Forecasting, Elsevier, vol. 30(4), pages 944-962.
  58. Prakash Kannan & Selim Elekdag, 2009. "Incorporating Market Information Into the Construction of the Fan Chart," IMF Working Papers 09/178, International Monetary Fund.
  59. Mazzeu Gonçalves & Henrique Joao & Esther Ruiz & Helena Veiga, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," Statistics and Econometrics Working Papers ws1508, Universidad Carlos III, Departamento de Estadística y Econometría.
  60. Pierre L Siklos, 2010. "Relative Price Shocks, Inflation Expectations, and the Role of Monetary Policy," RBA Annual Conference Volume, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  61. George Athanasopoulos & Rob J Hyndman & Haiyan Song & Doris C Wu, 2008. "The tourism forecasting competition," Monash Econometrics and Business Statistics Working Papers 10/08, Monash University, Department of Econometrics and Business Statistics, revised Oct 2009.
  62. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," LSE Research Online Documents on Economics 6845, London School of Economics and Political Science, LSE Library.
  63. Michal Franta, 2013. "The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts," Working Papers 2013/09, Czech National Bank, Research Department.
  64. Li, Yushu & Andersson, Jonas, 2014. "A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting," Discussion Papers 2014/12, Department of Business and Management Science, Norwegian School of Economics.
  65. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  66. Yongmiao Hong & Haitao Li & Feng Zhao, 2013. "Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei," Papers 2013-10-14, Working Paper.
  67. Dong Jin Lee, 2009. "Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process," Working papers 2009-26, University of Connecticut, Department of Economics.
  68. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
  69. Harvey, David I. & Newbold, Paul, 2003. "The non-normality of some macroeconomic forecast errors," International Journal of Forecasting, Elsevier, vol. 19(4), pages 635-653.
  70. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
  71. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011. "Multivariate semi-nonparametric distributions with dynamic conditional correlations," International Journal of Forecasting, Elsevier, vol. 27(2), pages 347-364, April.
  72. Brenda Lopez Cabrera & Franziska Schulz, 2014. "Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach," SFB 649 Discussion Papers SFB649DP2014-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  73. David Reifschneider & Peter Tulip, 2007. "Gauging the uncertainty of the economic outlook from historical forecasting errors," Finance and Economics Discussion Series 2007-60, Board of Governors of the Federal Reserve System (U.S.).
  74. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011. "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," Statistics and Econometrics Working Papers ws111813, Universidad Carlos III, Departamento de Estadística y Econometría.
  75. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  76. repec:wyi:journl:002081 is not listed on IDEAS
  77. Lorenzo Pascual & Esther Ruiz & Diego Fresoli, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," Statistics and Econometrics Working Papers ws113426, Universidad Carlos III, Departamento de Estadística y Econometría.
  78. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
  79. Gatt, William, 2014. "Communicating uncertainty - a fan chart for HICP projections," MPRA Paper 59603, University Library of Munich, Germany.
  80. Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, School of Economics and Management, University of Aarhus.
  81. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, vol. 28(2), pages 343-352.
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