Better the devil you know: improved forecasts from imperfect models

Cites Work

The Model Confidence Set
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Generalized autoregressive conditional heteroscedasticity
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Title not available (Why is that?)
Copulas and temporal dependence
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Local Maximum Likelihood Estimation and Inference
Prediction with a Generalized Cost of Error Function
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Nonparametric vector autoregression
Local Likelihood Estimation
Locally-weighted regression: an approach to regression analysis by local fitting
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Local quasi-likelihood with a parametric guide
Optimal Properties of Exponentially Weighted Forecasts
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
The asymptotic properties of the maximum-relevance weighted likelihood estimators
Conditional rotation between forecasting models
Conditional Superior Predictive Ability
How should parameter estimation be tailored to the objective?
Theory-coherent forecasting
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
Comparing Possibly Misspecified Forecasts

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