Asymptotic Inference about Predictive Ability
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Publication:4895056
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(only showing first 100 items - show all)- Asymptotics for out of sample tests of Granger causality
- Volatility forecast comparison using imperfect volatility proxies
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- On the selection of forecasting models
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- The use of encompassing tests for forecast combinations
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Forecasting the volatility of crude oil futures using intraday data
- Tests of equal accuracy for nested models with estimated factors
- Empirical assessment of an intertemporal option pricing model with latent variables.
- A joint econometric model of macroeconomic and term-structure dynamics
- Volatility forecasting accuracy for Bitcoin
- Robust out-of-sample inference
- Forecasting by factors, by variables, by both or neither?
- Time-varying combinations of predictive densities using nonlinear filtering
- Selection between models through multi-step-ahead forecasting
- ARMA representation of integrated and realized variances
- Consistent ranking of volatility models
- Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
- Nonparametric monitoring of equal predictive ability
- Statistical tests for multiple forecast comparison
- A consistent test for nonlinear out of sample predictive accuracy.
- Predictive ability with cointegrated variables
- Asymptotic inference about predictive accuracy using high frequency data
- Comparison of value-at-risk models using the MCS approach
- Data-based ranking of realised volatility estimators
- Editorial. Annals issue on forecasting -- guest editors' introduction
- Likelihood-based scoring rules for comparing density forecasts in tails
- Understanding models' forecasting performance
- AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- Multi-criteria classification for pricing European options
- On asymptotic properties of predictive distributions
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
- To combine forecasts or to combine information?
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Simulation based selection of competing structural econometric models
- Revisions in official data and forecasting
- Improved tests for forecast comparisons in the presence of instabilities
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Testing conditional asymmetry: a residual-based approach
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
- Evaluating probability forecasts
- Pitfalls in market timing test
- A predictability test for a small number of nested models
- Encompassing tests when no model is encompassing
- Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
- A panel data approach to economic forecasting: the bias-corrected average forecast
- Nested forecast model comparisons: a new approach to testing equal accuracy
- Tests of equal forecast accuracy and encompassing for nested models
- Evaluating Direct Multistep Forecasts
- Approximately normal tests for equal predictive accuracy in nested models
- Comparison of misspecified calibrated models: the minimum distance approach
- On loss functions and ranking forecasting performances of multivariate volatility models
- The power of tests of predictive ability in the presence of structural breaks
- What does financial volatility tell us about macroeconomic fluctuations?
- Predictive density and conditional confidence interval accuracy tests
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- The three-pass regression filter: a new approach to forecasting using many predictors
- Predicting the yield curve using forecast combinations
- Robust score and portmanteau tests of volatility spillover
- Robust forecast comparison
- Robust ranking of multivariate GARCH models by problem dimension
- Multivariate out-of-sample tests for Granger causality
- Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
- Multi-population mortality modeling: when the data is too much and not enough
- Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
- Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
- Estimation and Inference on Time-Varying FAVAR Models
- Testing Nowcast Monotonicity with Estimated Factors
- Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
- On comparing multi-horizon forecasts
- Factor model forecasts of exchange rates
- Adaptive hierarchical priors for high-dimensional vector autoregressions
- Conditional rotation between forecasting models
- Forecasting volatility with support vector machine-based GARCH model
- scientific article; zbMATH DE number 1834031 (Why is no real title available?)
- Predictive ability tests with possibly overlapping models
- Mind the gap! -- A monetarist view of the open-economy Phillips curve
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
- Dangers of data mining: The case of calendar effects in stock returns
- Evaluating forecast performance with state dependence
- Evaluation of volatility predictions in a VaR framework
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- A new bootstrap-based forecast evaluation method tested on time series
- Noise fit, estimation error and a Sharpe information criterion
- A new method for estimating the forecast quality with consideration for the errors of calculating the unknown parameters
- Nonparametric volatility prediction
- A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
- Statistical inference for measures of predictive success
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- Tail-risk protection trading strategies
- ``Since you're so rich, you must be really smart: talent, rent sharing, and the finance wage premium
- A network solution to robust implementation: the case of identical but unknown distributions
- A more credible approach to parallel trends
- A welfare analysis of occupational licensing in U.S. states
- Hazed and confused: the effect of air pollution on dementia
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