Bregman model averaging for forecast combination
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Cites work
- A generalized maximum entropy approach to Bregman co-clustering and matrix approximation
- A model-averaging approach for high-dimensional regression
- A weight-relaxed model averaging approach for high-dimensional generalized linear models
- Asymptotic efficiency in estimation with conditional moment restrictions
- Asymptotic Statistics
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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- Comparing Possibly Misspecified Forecasts
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- Complete subset regressions
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- Correcting Estimation Bias in Dynamic Term Structure Models
- Distribution theory of the least squares averaging estimator
- Econometrics
- Elicitation of Personal Probabilities and Expectations
- Estimation and Testing of Forecast Rationality under Flexible Loss
- Evaluating Volatility and Correlation Forecasts
- First-order methods in optimization
- Focused information criterion for locally misspecified vector autoregressive models
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- Generalised density forecast combinations
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- How should parameter estimation be tailored to the objective?
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- Inference in VARs with conditional heteroskedasticity of unknown form
- Jackknife model averaging
- Least Squares Model Averaging
- Least-squares forecast averaging
- Making and evaluating point forecasts
- Measure theory and fine properties of functions
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- Model averaging for asymptotically optimal combined forecasts
- Model averaging in predictive regressions
- Model averaging prediction by K-fold cross-validation
- Model averaging under flexible loss functions
- Model averaging, asymptotic risk, and regressor groups
- Model Selection and Model Averaging
- Modeling and Forecasting Realized Volatility
- Moment convergence of M-estimators
- Moment convergence of Z-estimators
- Multivariate plug-in bandwidth selection
- New aspects of Bregman divergence in regression and classification with parametric and nonparametric estimation
- Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
- On Bayesian Modeling of Fat Tails and Skewness
- On loss functions and ranking forecasting performances of multivariate volatility models
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates
- On the Optimality of Conditional Expectation as a Bregman Predictor
- Optimal forecast combinations under general loss functions and forecast error distributions
- Optimal model averaging based on forward-validation
- Optimal multistep VAR forecast averaging
- Optimal prediction pools
- Penalized Bregman divergence for large-dimensional regression and classification
- Properties of optimal forecasts under asymmetric loss and nonlinearity
- Sequential greedy approximation for certain convex optimization problems
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Testing Forecast Optimality Under Unknown Loss
- Tests of Conditional Predictive Ability
- The foundations of finite sample estimation in stochastic processes
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Unified Optimal Model Averaging with a General Loss Function based on Cross-Validation
- Volatility forecast comparison using imperfect volatility proxies
- Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
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