Asymptotic Inference about Predictive Ability
From MaRDI portal
Recommendations
- Asymptotics of predictive distributions
- On asymptotic properties of predictive distributions
- An asymptotic result with respect to predictive distributions
- Prediction and asymptotics
- scientific article; zbMATH DE number 6458312
- Asymptotic behavior of the prediction error
- Asymptotic Likelihood-Based Prediction Functions
Cited in
(only showing first 100 items - show all)- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
- Revisions in official data and forecasting
- A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence
- What does financial volatility tell us about macroeconomic fluctuations?
- Predicting the yield curve using forecast combinations
- Predictive ability tests with possibly overlapping models
- The power of tests of predictive ability in the presence of structural breaks
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Model averaging for asymptotically optimal combined forecasts
- Optimal currency portfolio with implied return distribution in the mean-variance approach
- On the selection of forecasting models
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Volatility forecast comparison using imperfect volatility proxies
- Nonparametric monitoring of equal predictive ability
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Robust out-of-sample inference
- Bayesian compressed vector autoregressions
- ARMA representation of integrated and realized variances
- Dangers of data mining: The case of calendar effects in stock returns
- Modeling structural breaks in economic relationships using large shocks
- Prewhitened long-run variance estimation robust to nonstationarity
- Comparing Possibly Misspecified Forecasts
- Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
- To combine forecasts or to combine information?
- Consistent ranking of volatility models
- Quantile aggregation and combination for stock return prediction
- Forecasting with a noncausal VAR model
- Tests of equal forecast accuracy and encompassing for nested models
- Conditional predictive density evaluation in the presence of instabilities
- Asymptotic inference about predictive accuracy using high frequency data
- Pitfalls in market timing test
- Tests of equal accuracy for nested models with estimated factors
- Evaluation of volatility predictions in a VaR framework
- A joint econometric model of macroeconomic and term-structure dynamics
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
- Evaluating Direct Multistep Forecasts
- Bootstrapping out-of-sample predictability tests with real-time data
- Bayesian MIDAS penalized regressions: estimation, selection, and prediction
- Trading profitability from learning and adaptation on the Tokyo Stock Exchange
- Forecasting national recessions of the United States with state-level climate risks: evidence from model averaging in Markov-switching models
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Simulation based selection of competing structural econometric models
- Forecasting by factors, by variables, by both or neither?
- Time-varying combinations of predictive densities using nonlinear filtering
- Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System
- Testing Quantile Forecast Optimality
- Maximum-Subsampling Test of Equal Predictive Ability
- Improved tests for forecast comparisons in the presence of instabilities
- Nonparametric volatility prediction
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
- A consistent test for nonlinear out of sample predictive accuracy.
- AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
- scientific article; zbMATH DE number 1834031 (Why is no real title available?)
- Noise fit, estimation error and a Sharpe information criterion
- Comparison of value-at-risk models using the MCS approach
- Editorial. Annals issue on forecasting -- guest editors' introduction
- Likelihood-based scoring rules for comparing density forecasts in tails
- Understanding models' forecasting performance
- Adaptive hierarchical priors for high-dimensional vector autoregressions
- The Bayesian nested Lasso for mixed frequency regression models
- Testing conditional asymmetry: a residual-based approach
- The use of encompassing tests for forecast combinations
- Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
- Encompassing tests when no model is encompassing
- Non-parametric news impact curve: a variational approach
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- Panel data nowcasting
- Risk Measure Inference
- Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
- Multi-Horizon Forecast Comparison
- Real-time Bayesian learning and bond return predictability
- Multi-criteria classification for pricing European options
- Model averaging in Markov-switching models: predicting national recessions with regional data
- Inference about predictive ability
- On the sources of uncertainty in exchange rate predictability
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
- Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
- Estimation and Inference on Time-Varying FAVAR Models
- Testing Nowcast Monotonicity with Estimated Factors
- On comparing multi-horizon forecasts
- Conditional rotation between forecasting models
- Mind the gap! -- A monetarist view of the open-economy Phillips curve
- Selection between models through multi-step-ahead forecasting
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Robust score and portmanteau tests of volatility spillover
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- Robust ranking of multivariate GARCH models by problem dimension
- On the use of the concentration function to compare predictive distributions in ARMA models.
- A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
- Statistical inference for measures of predictive success
- Multi-population mortality modeling: when the data is too much and not enough
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Forecasting Levels in Loglinear Unit Root Models
- Large-scale volatility models: theoretical properties of professionals’ practice
- Factor model forecasts of exchange rates
- Nested forecast model comparisons: a new approach to testing equal accuracy
This page was built for publication: Asymptotic Inference about Predictive Ability
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4895056)
