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Citations for "Density Forecasting: A Survey"

by Anthony Tay & Kenneth F. Wallis

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  1. 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".
  2. 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.
  3. 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.
  4. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
  5. 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.
  6. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
  12. 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.
  13. 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.
  14. Pauwels, Laurent L. & Vasnev, Andrey L., 2016. "A note on the estimation of optimal weights for density forecast combinations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 391-397.
  15. 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.
  16. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Inflation fan charts, monetary policy and skew normal distribution," Discussion Papers in Economics 13/06, Department of Economics, University of Leicester.
  17. Gary Koop & Luca Onorante, 2011. "Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters," Working Papers 1109, University of Strathclyde Business School, Department of Economics.
  18. 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.
  19. 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.
  20. 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.
  21. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005. "Bootstrap prediction intervals for power-transformed time series," International Journal of Forecasting, Elsevier, vol. 21(2), pages 219-235.
  22. 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.
  23. 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.
  24. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, Elsevier.
  25. Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012. "Optimal Combination of Survey Forecasts," Working Papers ECARES ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
  26. 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.
  27. G. Boero & E. Marrocu, 2002. "The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts," Working Paper CRENoS 200208, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  28. Giorgio Valente & Lucio Sarno, 2004. "Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts," Working Papers wp04-10, Warwick Business School, Finance Group.
  29. 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.
  30. David L. 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.).
  31. repec:wyi:journl:002081 is not listed on IDEAS
  32. Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
  33. 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.
  34. 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.
  35. Matteo Luciani & Libero Monteforte, 2012. "Uncertainty and Heterogeneity in factor models forecasting," Working Papers 5, Department of the Treasury, Ministry of the Economy and of Finance.
  36. 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.
  37. Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014. "Stress-testing US bank holding companies: A dynamic panel quantile regression approach," International Journal of Forecasting, Elsevier, vol. 30(3), pages 691-713.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. Yongmiao Hong & Haitao Li & Feng Zhao, 2013. "Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  45. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
  46. 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.
  47. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
  48. 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.
  49. Götz, Thomas B. & Hecq, Alain & Urbain, Jean-Pierre, 2016. "Combining forecasts from successive data vintages: An application to U.S. growth," International Journal of Forecasting, Elsevier, vol. 32(1), pages 61-74.
  50. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS ws113426, Universidad Carlos III de Madrid. Departamento de Estadística.
  51. Prakash Kannan & Selim Elekdag, 2009. "Incorporating Market Information into the Construction of the Fan Chart," IMF Working Papers 09/178, International Monetary Fund.
  52. 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.
  53. 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).
  54. 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.
  55. 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.
  56. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
  57. 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.
  58. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, EconWPA.
  59. 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.
  60. Erika Gomes-Gon\c{c}alves & Henryk Gzyl & Silvia Mayoral, 2014. "Two maxentropic approaches to determine the probability density of compound risk losses," Papers 1411.5625, arXiv.org, revised Nov 2014.
  61. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
  62. Kolassa, Stephan, 2016. "Evaluating predictive count data distributions in retail sales forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 788-803.
  63. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics.
  64. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier.
  65. Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3286-3294.
  66. 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.
  67. Sánchez, Ismael & Peña, Daniel & Bermejo, Miguel Ángel, 2011. "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," DES - Working Papers. Statistics and Econometrics. WS ws111813, Universidad Carlos III de Madrid. Departamento de Estadística.
  68. González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
  69. 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.
  70. Gatt, William, 2014. "Communicating uncertainty - a fan chart for HICP projections," MPRA Paper 59603, University Library of Munich, Germany.
  71. 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.
  72. 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.
  73. 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.
  74. 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.
  75. 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.
  76. 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.
  77. repec:syb:wpbsba:01/2013 is not listed on IDEAS
  78. Veiga, Helena & Ruiz, Esther & Gonçalves Mazzeu, Joao Henrique, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
  79. repec:dau:papers:123456789/6805 is not listed on IDEAS
  80. Dr. James Mitchell, 2008. "Evaluating Density Forecasts: Forecast Combinations, Model Mixtures, Calibration and Sharpness," NIESR Discussion Papers 320, National Institute of Economic and Social Research.
  81. 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.
  82. 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.
  83. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  84. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  85. 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.
  86. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
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