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Forecasting the Distribution of Economic Variables in a Data-Rich Environment
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Cited by:
- 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.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2020. "From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts," Working Papers 1142, Barcelona School of Economics.
- 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," Economics Working Papers 1689, Department of Economics and Business, Universitat Pompeu Fabra.
- Carstensen, Kai & Bachmann, Rüdiger & Schneider, Martin & Lautenbacher, Stefan, 2018. "Uncertainty is Change," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181572, Verein für Socialpolitik / German Economic Association.
- Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Specification Choices in Quantile Regression for Empirical Macroeconomics," Working Papers 22-25, Federal Reserve Bank of Cleveland.
- Luke Hartigan & Michelle Wright, 2021. "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers rdp2021-03, Reserve Bank of Australia.
- Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian & Wohar, Mark E., 2017.
"Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 276-284.
- Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar, 2016. "Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach," Working Papers 201626, University of Pretoria, Department of Economics.
- Pfarrhofer, Michael, 2022.
"Modeling tail risks of inflation using unobserved component quantile regressions,"
Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Michael Pfarrhofer, 2021. "Modeling tail risks of inflation using unobserved component quantile regressions," Papers 2103.03632, arXiv.org, revised Oct 2021.
- James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
- Luke Hartigan & Michelle Wright, 2023. "Monitoring Financial Conditions and Downside Risk to Economic Activity in Australia," The Economic Record, The Economic Society of Australia, vol. 99(325), pages 253-287, June.
- De Gooijer, Jan G. & Zerom, Dawit, 2019. "Semiparametric quantile averaging in the presence of high-dimensional predictors," International Journal of Forecasting, Elsevier, vol. 35(3), pages 891-909.
- Uniejewski, Bartosz & Weron, Rafał, 2021.
"Regularized quantile regression averaging for probabilistic electricity price forecasting,"
Energy Economics, Elsevier, vol. 95(C).
- Bartosz Uniejewski & Rafal Weron, 2019. "Regularized Quantile Regression Averaging for probabilistic electricity price forecasting," HSC Research Reports HSC/19/04, Hugo Steinhaus Center, Wroclaw University of Technology.
- Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
- Corradi, Valentina & Fosten, Jack & Gutknecht, Daniel, 2023. "Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk," Journal of Econometrics, Elsevier, vol. 236(2).
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021.
"Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model,"
Papers
2110.03411, arXiv.org.
- Todd Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Working Papers 2307, University of Strathclyde Business School, Department of Economics.
- Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "A real-time quantile-regression approach to forecasting gold returns under asymmetric loss," Resources Policy, Elsevier, vol. 45(C), pages 299-306.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2023.
"Tail Forecasting With Multivariate Bayesian Additive Regression Trees,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 979-1022, August.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," Working Papers 21-08R, Federal Reserve Bank of Cleveland, revised 12 Jul 2022.
- Marcellino, Massimiliano & Clark, Todd & Huber, Florian & Koop, Gary & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.
- Ning Xu & Jian Hong & Timothy C. G. Fisher, 2016.
"Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso,"
Papers
1606.00142, arXiv.org.
- Xu, Ning & Hong, Jian & Fisher, Timothy, 2016. "Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso," MPRA Paper 71670, University Library of Munich, Germany.
- Luca Tiozzo Pezzoli & Elisa Tosetti, 2022. "Seismonomics: Listening to the heartbeat of the economy," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(S2), pages 288-309, December.
- Dimitris Korobilis & Maximilian Schröder, 2023.
"Monitoring multicountry macroeconomic risk,"
Working Papers
No 06/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Dimitris Korobilis & Maximilian Schroder, 2023. "Monitoring multicountry macroeconomic risk," Papers 2305.09563, arXiv.org.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper series 23-06, Rimini Centre for Economic Analysis.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper 2023/9, Norges Bank.
- Tanin, Tauhidul Islam & Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf Mohsen & Brooks, Robert, 2022. "Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries," Energy Economics, Elsevier, vol. 115(C).
- Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
- 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.
- Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A quantile-boosting approach to forecasting gold returns," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 38-55.
- Rossi, Barbara & Ganics, Gergely & Sekhposyan, Tatevik, 2020. "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Foreca," CEPR Discussion Papers 14267, C.E.P.R. Discussion Papers.
- Marian Vavra, 2023. "Bias-Correction in Time Series Quantile Regression Models," Working and Discussion Papers WP 3/2023, Research Department, National Bank of Slovakia.
- Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
- Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle, 2023. "Testing Quantile Forecast Optimality," Papers 2302.02747, arXiv.org, revised Oct 2023.
- James Mitchell & Saeed Zaman, 2023. "The Distributional Predictive Content of Measures of Inflation Expectations," Working Papers 23-31, Federal Reserve Bank of Cleveland.
- Jan G. De Gooijer, 2023. "Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 407-424, June.