Optimal forecasting accuracy using Lp-norm combination
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Publication:2168554
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Cites work
- A generalized error distribution copula-based method for portfolios risk assessment
- A note on linear combination of predictors
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- CHALLENGES FOR ECONOMETRIC MODEL SELECTION
- Cointegration models with non Gaussian GARCH innovations
- Generalized autoregressive conditional heteroscedasticity
- Is there an optimal forecast combination?
- Model-based fuzzy time series clustering of conditional higher moments
- Nonuniqueness of least absolute values regression
- Optimal forecast combinations under general loss functions and forecast error distributions
- Pooling of forecasts
- Prediction with a Generalized Cost of Error Function
- Properties and estimation of asymmetric exponential power distribution
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
- Statistical distributions.
- The linear regression model: Lpnorm estimation and the choice of p
- Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
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