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Evaluating Density Forecasts with Applications to Financial Risk Management

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Cited by:

  1. 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.
  2. Clements, Michael P., 2010. "Explanations of the inconsistencies in survey respondents' forecasts," European Economic Review, Elsevier, vol. 54(4), pages 536-549, May.
  3. Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers 1947, Banco de España.
  4. Lee, Tae-Hwy & Long, Xiangdong, 2009. "Copula-based multivariate GARCH model with uncorrelated dependent errors," Journal of Econometrics, Elsevier, vol. 150(2), pages 207-218, June.
  5. Markku Lanne, 2009. "Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases," Economics Bulletin, AccessEcon, vol. 29(3), pages 2231-2240.
  6. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
  7. Memmel, Christoph & Wehn, Carsten, 2005. "The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation," Discussion Paper Series 2: Banking and Financial Studies 2005,02, Deutsche Bundesbank.
  8. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  9. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
  10. Charles Goodhart & Miguel Segoviano, 2009. "Banking Stability Measures," FMG Discussion Papers dp627, Financial Markets Group.
  11. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  12. Bowsher, Clive G., 2007. "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, vol. 141(2), pages 876-912, December.
  13. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
  14. Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016. "Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594, Emerald Group Publishing Limited.
  15. Sean D. Campbell & Francis X. Diebold, 2005. "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 6-16, March.
  16. repec:hum:wpaper:sfb649dp2014-050 is not listed on IDEAS
  17. Etienne Theising, 2024. "Distributional Reference Class Forecasting of Corporate Sales Growth With Multiple Reference Variables," Papers 2405.03402, arXiv.org.
  18. 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.
  19. Li, Xiao-Ming & Rose, Lawrence C., 2009. "The tail risk of emerging stock markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 242-256, December.
  20. Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
  21. 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.
  22. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  23. Lui, Silvia & Mitchell, James & Weale, Martin, 2011. "The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1128-1146, October.
  24. Philippe J. Deschamps, 2008. "Comparing smooth transition and Markov switching autoregressive models of US unemployment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(4), pages 435-462.
  25. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 159-179, September.
  26. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
  27. Rossi, Barbara & Sekhposyan, Tatevik, 2013. "Conditional predictive density evaluation in the presence of instabilities," Journal of Econometrics, Elsevier, vol. 177(2), pages 199-212.
  28. Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  29. Ross Askanazi & Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2018. "On the Comparison of Interval Forecasts," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 953-965, November.
  30. Franses, Ph.H.B.F. & Kranendonk, H.C. & Lanser, D., 2007. "On the optimality of expert-adjusted forecasts," Econometric Institute Research Papers EI 2007-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  31. Cortes, Fabio & Lindner, Peter & Malik, Sheheryar & Segoviano, Miguel, 2018. "A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)," LSE Research Online Documents on Economics 118928, London School of Economics and Political Science, LSE Library.
  32. 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.
  33. Hua, Zhongsheng & Zhang, Bin, 2008. "Improving density forecast by modeling asymmetric features: An application to S&P500 returns," European Journal of Operational Research, Elsevier, vol. 185(2), pages 716-725, March.
  34. Maik H. Wolters, 2015. "Evaluating Point and Density Forecasts of DSGE Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 74-96, January.
  35. 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 367-381, September.
  36. Heinen, Andréas & Rengifo, Erick, 2008. "Multivariate reduced rank regression in non-Gaussian contexts, using copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2931-2944, February.
  37. Laura Liu, 2018. "Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective," Finance and Economics Discussion Series 2018-036, Board of Governors of the Federal Reserve System (U.S.).
  38. Lux, Thomas, 2008. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Kiel Working Papers 1424, Kiel Institute for the World Economy (IfW Kiel).
  39. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
  40. González-Rivera, Gloria & Sun, Yingying, 2017. "Density forecast evaluation in unstable environments," International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
  41. Arne Vogler & Florian Ziel, "undated". "On The Evaluation Of Binary Event Probability Predictions In Electricity Price Forecasting," EWL Working Papers 1911, University of Duisburg-Essen, Chair for Management Science and Energy Economics.
  42. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  43. 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.
  44. 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.
  45. Atsushi Inoue & Barbara Rossi, 2008. "Monitoring and Forecasting Currency Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 523-534, March.
  46. David Veredas & Juan Rodriguez-Poo & Antoni Espasa, 2001. "On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach," Working Papers 2001-19, Center for Research in Economics and Statistics.
  47. Geweke, John & Amisano, Gianni, 2011. "Optimal prediction pools," Journal of Econometrics, Elsevier, vol. 164(1), pages 130-141, September.
  48. David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
  49. Segoviano, Miguel A. & Goodhart, Charles, 2009. "Banking stability measures," LSE Research Online Documents on Economics 24416, London School of Economics and Political Science, LSE Library.
  50. Suzanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures," Working Papers hal-00921283, HAL.
  51. Malte Knuppel & Fabian Kruger & Marc-Oliver Pohle, 2022. "Score-based calibration testing for multivariate forecast distributions," Papers 2211.16362, arXiv.org, revised Dec 2023.
  52. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  53. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
  54. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Papers 2006.11265, arXiv.org, revised Sep 2020.
  55. Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2012. "Historical financial analogies of the current crisis," Economics Letters, Elsevier, vol. 116(2), pages 190-192.
  56. Rubaszek, Michał, 2021. "Forecasting crude oil prices with DSGE models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 531-546.
  57. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
  58. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
  59. M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series 1358, CESifo.
  60. Segoviano, Miguel A., 2006. "Consistent information multivariate density optimizing methodology," LSE Research Online Documents on Economics 24511, London School of Economics and Political Science, LSE Library.
  61. Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Ali, Sajid & Ameer, Saba, 2016. "Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 8-33.
  62. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
  63. Helton Saulo & Jeremias Leão & Víctor Leiva & Robert G. Aykroyd, 2019. "Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data," Statistical Papers, Springer, vol. 60(5), pages 1605-1629, October.
  64. 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).
  65. Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert, 2008. "Mixtures of t-distributions for finance and forecasting," Journal of Econometrics, Elsevier, vol. 144(1), pages 175-192, May.
  66. Lux, Thomas, 2009. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Journal of Economic Behavior & Organization, Elsevier, vol. 72(2), pages 638-655, November.
  67. Yun, Jaeho, 2014. "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 74-87.
  68. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR).
  69. Berg Tim Oliver, 2017. "Forecast accuracy of a BVAR under alternative specifications of the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-29, April.
  70. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  71. Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
  72. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
  73. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
  74. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo.
  75. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
  76. Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  77. Jian Wang & Jason J. Wu, 2012. "The Taylor Rule and Forecast Intervals for Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 103-144, February.
  78. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
  79. Berk, K. & Hoffmann, A. & Müller, A., 2018. "Probabilistic forecasting of industrial electricity load with regime switching behavior," International Journal of Forecasting, Elsevier, vol. 34(2), pages 147-162.
  80. Bochmann, Paul & Hiebert, Paul & Schüler, Yves & Segoviano, Miguel A., 2024. "Latent fragility: Conditioning banks' joint probability of default on the financial cycle," Journal of International Money and Finance, Elsevier, vol. 146(C).
  81. Wolfgang Polasek, 2013. "Forecast Evaluations for Multiple Time Series: A Generalized Theil Decomposition," Working Paper series 23_13, Rimini Centre for Economic Analysis.
  82. Xiaohong Chen & Yanqin Fan, 2002. "Evaluating Density Forecasts via the Copula Approach," Vanderbilt University Department of Economics Working Papers 0225, Vanderbilt University Department of Economics, revised Sep 2003.
  83. 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.
  84. Francis X. Diebold & Kamil Yilmaz, 2011. "Equity Market Spillovers in the Americas," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 7, pages 199-214, Central Bank of Chile.
  85. Tsyplakov, Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," MPRA Paper 26908, University Library of Munich, Germany.
  86. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013. "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper series 63_13, Rimini Centre for Economic Analysis.
  87. Chang, Kuang-Liang, 2023. "The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate," Journal of International Money and Finance, Elsevier, vol. 133(C).
  88. repec:hum:wpaper:sfb649dp2016-035 is not listed on IDEAS
  89. Katarzyna Bien-Barkowska, 2012. ""Does it take volume to move fx rates?" Evidence from quantile regressions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 35-52.
  90. Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022. "How is machine learning useful for macroeconomic forecasting?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 920-964, August.
  91. Tranberg, Bo & Hansen, Rasmus Thrane & Catania, Leopoldo, 2020. "Managing volumetric risk of long-term power purchase agreements," Energy Economics, Elsevier, vol. 85(C).
  92. Tilmann Gneiting & Larissa Stanberry & Eric Grimit & Leonhard Held & Nicholas Johnson, 2008. "Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(2), pages 211-235, August.
  93. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
  94. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
  95. Corradi, Valentina & Swanson, Norman R., 2004. "A test for the distributional comparison of simulated and historical data," Economics Letters, Elsevier, vol. 85(2), pages 185-193, November.
  96. Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2012. "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers 12003, Concordia University, Department of Economics.
  97. Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003. "The forecasting performance of German stock option densities," Working Papers (Old Series) 0312, Federal Reserve Bank of Cleveland.
  98. Cotter, John & Dowd, Kevin, 2006. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," MPRA Paper 3495, University Library of Munich, Germany.
  99. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
  100. David Kohns & Arnab Bhattacharjee, 2020. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," Papers 2011.00938, arXiv.org, revised May 2022.
  101. Vasileios Siakoulis & Ioannis Venetis, 2015. "On inter-arrival times of bond market extreme events. An application to seven European markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 717-741, October.
  102. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2015. "The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US," Applied Economics, Taylor & Francis Journals, vol. 47(22), pages 2259-2277, May.
  103. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," Center for Financial Institutions Working Papers 99-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
  104. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.
  105. Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023. "Density forecasts of inflation: a quantile regression forest approach," CEPR Discussion Papers 18298, C.E.P.R. Discussion Papers.
  106. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
  107. Bruche, Max & González-Aguado, Carlos, 2010. "Recovery rates, default probabilities, and the credit cycle," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 754-764, April.
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  109. Zhang, Shulin & Song, Peter X.-K. & Shi, Daimin & Zhou, Qian M., 2012. "Information ratio test for model misspecification on parametric structures in stochastic diffusion models," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 3975-3987.
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  116. Kolasa, Marcin & Rubaszek, Michał, 2015. "Forecasting using DSGE models with financial frictions," International Journal of Forecasting, Elsevier, vol. 31(1), pages 1-19.
  117. James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
  118. 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.
  119. Taylor, James W., 2006. "Density forecasting for the efficient balancing of the generation and consumption of electricity," International Journal of Forecasting, Elsevier, vol. 22(4), pages 707-724.
  120. Diebold, Francis X. & Shin, Minchul & Zhang, Boyuan, 2023. "On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates," Journal of Econometrics, Elsevier, vol. 237(2).
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  123. 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.
  124. Lanne, Markku, 2007. "The Properties of Market-Based and Survey Forecasts for Different Data Releases," MPRA Paper 3877, University Library of Munich, Germany.
  125. Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
  126. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, vol. 20(2), pages 237-253.
  127. Opschoor, Anne & van Dijk, Dick & van der Wel, Michel, 2014. "Predicting volatility and correlations with Financial Conditions Indexes," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 435-447.
  128. Song, Haiyan & Wen, Long & Liu, Chang, 2019. "Density tourism demand forecasting revisited," Annals of Tourism Research, Elsevier, vol. 75(C), pages 379-392.
  129. 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.
  130. Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618, April.
  131. Barbara Choroś-Tomczyk & Wolfgang Karl H�rdle & Ludger Overbeck, 2014. "Copula dynamics in CDOs," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1573-1585, September.
  132. 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.
  133. 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.
  134. Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips, 2018. "Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 523-537, July.
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