Using proxies to improve forecast evaluation (Q6179125): Difference between revisions

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+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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+Likelihood-based scoring rules for comparing density forecasts in tails
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+Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
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+Tests of Conditional Predictive Ability
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+Making and Evaluating Point Forecasts
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+Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
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+Consistent ranking of volatility models
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+The role of the information set for forecasting -- with applications to risk management
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+Volatility estimation for Bitcoin: a comparison of GARCH models
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+On loss functions and ranking forecasting performances of multivariate volatility models
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+Forecaster's dilemma: extreme events and forecast evaluation
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+Asymptotic inference about predictive accuracy using high frequency data
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+Modelling and predicting the Bitcoin volatility using GARCH models
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Elicitability and backtesting: perspectives for banking regulation
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+Volatility forecast comparison using imperfect volatility proxies
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+Evaluating Volatility and Correlation Forecasts
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+Elicitation of Personal Probabilities and Expectations
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+On the surprising explanatory power of higher realized moments in practice
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