Testing Quantile Forecast Optimality
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Cites work
- scientific article; zbMATH DE number 2161992 (Why is no real title available?)
- A smooth block bootstrap for quantile regression with time series
- Asymptotic Inference about Predictive Ability
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Bootstrap prediction for returns and volatilities in GARCH models
- Combining predictive distributions
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- Elicitability and backtesting: perspectives for banking regulation
- Evaluating interval forecasts
- Evaluating value-at-risk models via quantile regression
- Forecast Rationality Tests Based on Multi-Horizon Bounds
- Forecasting the Distribution of Economic Variables in a Data-Rich Environment
- Generalized autoregressive conditional heteroscedasticity
- Inference for parameters defined by moment inequalities using generalized moment selection
- Inference for the identified set in partially identified econometric models
- Making and evaluating point forecasts
- Multi-Horizon Forecast Comparison
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Prediction with a Generalized Cost of Error Function
- Probabilistic Forecasts, Calibration and Sharpness
- Quantile Autoregression
- Testing Nowcast Monotonicity with Estimated Factors
- The Model Confidence Set
- The jackknife and the bootstrap for general stationary observations
- Threshold quantile autoregressive models
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