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Citations for "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters"

by Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis

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  1. Giordani, Paolo & Soderlind, Paul, 2003. "Inflation forecast uncertainty," European Economic Review, Elsevier, vol. 47(6), pages 1037-1059, December.
  2. Refet S. Gürkaynak & Justin Wolfers, 2005. "Macroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty, and risk," Working Paper Series 2005-26, Federal Reserve Bank of San Francisco.
  3. 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," NBER Working Papers 6845, National Bureau of Economic Research, Inc.
  4. Sean D. Campbell & Francis X. Diebold, 2003. "Weather Forecasting for Weather Derivatives," NBER Working Papers 10141, National Bureau of Economic Research, Inc.
  5. repec:lan:wpaper:425 is not listed on IDEAS
  6. Michael P. Clements, 2014. "US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 1-14, 01.
  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. 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.
  9. Barot, Bharat, 2007. "Empirical Studies in Consumption, House Prices and the Accuracy of European Growth and Inflation Forecasts," Working Paper 98, National Institute of Economic Research.
  10. Wang, Yudong & Zhang, Bing & Diao, Xundi & Wu, Chongfeng, 2015. "Commodity price changes and the predictability of economic policy uncertainty," Economics Letters, Elsevier, vol. 127(C), pages 39-42.
  11. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2002. "The Properties Of Some Goodness-Of-Fit Tests," The Warwick Economics Research Paper Series (TWERPS) 653, University of Warwick, Department of Economics.
  12. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics.
  13. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics.
  14. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research.
  15. Richhild Moessner & Feng Zhu & Colin Ellis, 2011. "Measuring disagreement in UK consumer and central bank inflation forecasts," BIS Working Papers 339, Bank for International Settlements.
  16. Christian Grimme & Steffen Henzel & Elisabeth Wieland, 2014. "Inflation uncertainty revisited: a proposal for robust measurement," Empirical Economics, Springer, vol. 47(4), pages 1497-1523, December.
  17. Clements, Michael P., 2008. "Rounding of probability forecasts : The SPF forecast probabilities of negative output growth," The Warwick Economics Research Paper Series (TWERPS) 869, University of Warwick, Department of Economics.
  18. Norman R. Swanson & Nii Ayi Armah, 2011. "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers 201103, Rutgers University, Department of Economics.
  19. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank, Research Department.
  20. Tsyplakov, Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," MPRA Paper 26908, University Library of Munich, Germany.
  21. 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.
  22. repec:lan:wpaper:539557 is not listed on IDEAS
  23. Gabriela de Raaij & Burkhard Raunig, 2002. "Evaluating Density Forecasts with an Application to Stock Market Returns," Working Papers 59, Oesterreichische Nationalbank (Austrian Central Bank).
  24. Lahiri, Kajal & Liu, Fushang, 2005. "ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts," MPRA Paper 21693, University Library of Munich, Germany.
  25. Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago.
  26. Norman R. Swanson & Lili Cai, 2011. "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers 201102, Rutgers University, Department of Economics.
  27. Clements, Michael P., 2010. "Explanations of the inconsistencies in survey respondents' forecasts," European Economic Review, Elsevier, vol. 54(4), pages 536-549, May.
  28. repec:lan:wpaper:413 is not listed on IDEAS
  29. Bharat Barot, 2004. "How accurate are the Swedish forecasters on GDB-Growth, CPI-inflation and unemployment? (1993 - 2001)," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 47(2), pages 249-278.
  30. 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.
  31. Robert Rich & Joseph Tracy, 2003. "Modeling uncertainty: predictive accuracy as a proxy for predictive confidence," Staff Reports 161, Federal Reserve Bank of New York.
  32. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  33. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics.
  34. Mestre, Ricardo, 2007. "Are survey-based inflation expections in the euro area informative?," Working Paper Series 0721, European Central Bank.
  35. Dean Croushore, 2010. "Philadelphia Fed forecasting surveys: their value for research," Business Review, Federal Reserve Bank of Philadelphia, issue Q3, pages 1-11.
  36. repec:lan:wpaper:470 is not listed on IDEAS
  37. 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.
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