Comparing Possibly Misspecified Forecasts
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Cites work
- Asymptotic Inference about Predictive Ability
- Autoregressive Conditional Density Estimation
- Bayesian Estimation and Prediction Using Asymmetric Loss Functions
- Choosing a strictly proper scoring rule
- Comparing density forecasts using threshold- and quantile-weighted scoring rules
- Decisionmetrics: a decision-based approach to econometric modelling
- Elicitation of Personal Probabilities and Expectations
- Eliciting production possibilities from a well-informed manager
- Generalized autoregressive conditional heteroscedasticity
- Handbook of Volatility Models and Their Applications
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- scientific article; zbMATH DE number 3296905 (Why is no real title available?)
- Making and evaluating point forecasts
- Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
- On the Optimality of Conditional Expectation as a Bregman Predictor
- On the recoverability of forecasters' preferences
- Optimal binary prediction for group decision making
- Prediction with a Generalized Cost of Error Function
- Properties of optimal forecasts under asymmetric loss and nonlinearity
- Pseudo Maximum Likelihood Methods: Theory
- Quasi-maximum likelihood estimation for conditional quantiles
- Strictly Proper Scoring Rules, Prediction, and Estimation
- The role of the information set for forecasting -- with applications to risk management
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(12)- Better the devil you know: improved forecasts from imperfect models
- Convex and Lorenz orders under balance correction in nonlife insurance pricing: review and new developments
- Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
- Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- Forecasting and backtesting gradient allocations of expected shortfall
- Comparison of predictors' performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams
- Bregman model averaging for forecast combination
- Forecasting high-dimensional portfolios
- Frequentist model averaging under a linear exponential loss
- T-calibration in semi-parametric models
- Localizing Strictly Proper Scoring Rules
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