Theoretical guidelines for a partially informed forecast examiner
暂无分享,去创建一个
[1] M. Hashem Pesaran,et al. Decision‐Based Methods for Forecast Evaluation , 2007 .
[2] Anthony S. Tay,et al. Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters , 1997 .
[3] Norman R. Swanson,et al. A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS , 2005, Econometric Theory.
[4] Paul H. Kupiec,et al. Techniques for Verifying the Accuracy of Risk Measurement Models , 1995 .
[5] D. Hendry,et al. Econometric Evaluation of Linear Macro-Economic Models , 1986 .
[6] Anthony S. Tay,et al. Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange , 1999, Review of Economics and Statistics.
[7] Alexander Tsyplakov,et al. Evaluating Density Forecasts: A Comment , 2011 .
[8] M. Degroot. Uncertainty, Information, and Sequential Experiments , 1962 .
[9] Malte Knüppel,et al. Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments , 2015, SSRN Electronic Journal.
[10] Clive W. J. Granger,et al. A Decision_Theoretic Approach to Forecast Evaluation , 2000 .
[11] F. Sanders. On Subjective Probability Forecasting , 1963 .
[12] Jeremy Berkowitz. Testing Density Forecasts, With Applications to Risk Management , 2001 .
[13] T. Gneiting,et al. Combining Predictive Distributions , 2011, 1106.1638.
[14] A. Raftery,et al. Strictly Proper Scoring Rules, Prediction, and Estimation , 2007 .
[15] S. Hall,et al. Combining density forecasts , 2007 .
[16] David R. Cox,et al. Prediction and asymptotics , 1996 .
[17] Kenneth F. Wallis,et al. Scoring rules and survey density forecasts , 2011 .
[18] B. Fischhoff,et al. Calibration of probabilities: the state of the art to 1980 , 1982 .
[19] D. Cox. Tests of Separate Families of Hypotheses , 1961 .
[20] Gianni Amisano,et al. Comparing Density Forecasts via Weighted Likelihood Ratio Tests , 2007 .
[21] F. Diebold,et al. Comparing Predictive Accuracy , 1994, Business Cycles.
[22] A further analysis of the conference board’s new Leading Economic Index , 2015 .
[23] Robert J. Shiller,et al. Rational Expectations and the Dynamic Structure of Macroeconomic Models:A Critical Review , 1978 .
[24] T. Bollerslev,et al. A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .
[25] H. White,et al. A Reality Check for Data Snooping , 2000 .
[26] David I. Harvey. The evaluation of economic forecasts , 1997 .
[27] Gerald S. Rogers,et al. Mathematical Statistics: A Decision Theoretic Approach , 1967 .
[28] Francis X. Diebold,et al. Scoring the Leading Indicators , 2020, Business Cycles.
[29] Ken West. Asymptotic Inference about Predictive Ability, An Additional Appendix , 1994 .
[30] Clive W. J. Granger,et al. Outline of forecast theory using generalized cost functions , 1999 .
[31] Michael P. Clements,et al. Evaluating interval forecasts of high-frequency financial data , 2003 .
[32] Norman R. Swanson,et al. Predictive density and conditional confidence interval accuracy tests , 2006 .
[33] Charles F. Manski,et al. Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters , 2006 .
[34] Thomas F. Cooley,et al. ASYMPTOTIC LIKELIHOOD BASED PREDICTION FUNCTIONS , 1990 .
[35] Leonard A. Smith,et al. Scoring Probabilistic Forecasts: The Importance of Being Proper , 2007 .
[36] A. H. Murphy,et al. A General Framework for Forecast Verification , 1987 .
[37] Halbert White,et al. Tests of Conditional Predictive Ability , 2003 .
[38] Jochen Bröcker,et al. Reliability, sufficiency, and the decomposition of proper scores , 2009 .
[39] A. Raftery,et al. Probabilistic forecasts, calibration and sharpness , 2007 .
[40] Kenneth F. Wallis,et al. Chi-Squared Tests of Interval and Density Forecasts, and the Bank of England's Fan Charts , 2001, SSRN Electronic Journal.
[41] Jose A. Lopez,et al. Methods for Evaluating Value-at-Risk Estimates , 1998 .
[42] Giorgio Valente,et al. Comparing the accuracy of density forecasts from competing models , 2002 .
[43] O. Kallenberg. Foundations of Modern Probability , 2021, Probability Theory and Stochastic Modelling.
[44] Yi-Ting Chen. Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty , 2011 .
[45] Michael P. Clements,et al. Forecast Encompassing Tests and Probability Forecasts , 2010 .
[46] Norman R. Swanson,et al. Predictive Density Evaluation , 2005 .
[47] Peter F. Christoffersen. Evaluating Interval Forecasts , 1998 .
[48] Stephen E. Fienberg,et al. The Comparison and Evaluation of Forecasters. , 1983 .
[49] Simone Manganelli,et al. CAViaR , 2004 .
[50] Michael P. Clements. Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts , 2006 .
[51] Dick van Dijk,et al. Likelihood-based scoring rules for comparing density forecasts in tails , 2011 .
[52] James Mitchell,et al. Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness , 2011 .
[53] Anthony S. Tay,et al. Evaluating Density Forecasts with Applications to Financial Risk Management , 1998 .
[54] J. Geweke,et al. Optimal Prediction Pools , 2008 .
[55] A. Brockwell,et al. Universal Residuals: A Multivariate Transformation. , 2007, Statistics & probability letters.
[56] L. Hansen. Large Sample Properties of Generalized Method of Moments Estimators , 1982 .
[57] Anthony S. Tay,et al. Evaluating Density Forecasts , 1997 .
[58] Kernel-based calibration diagnostics for recession and inflation probability forecasts , 2011 .
[59] Yong Bao,et al. Comparing Density Forecast Models , 2007 .
[60] Hajo Holzmann,et al. The role of the information set for forecasting—with applications to risk management , 2014, 1404.7653.
[61] Norman R. Swanson,et al. Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification , 2003 .