Search Results - subject:"Density forecasting"

Censored density forecasts : production and evaluation

Mitchell, James; Weale, Martin - 2021

This paper develops methods for the production and evaluation of censored density forecasts. Censored density forecasts quantify forecast risks in a middle region of the density covering a specified probability, and ignore the magnitude but not the frequency of outlying observations. We propose...

Persistent link: https://www.econbiz.de/10012587322

Censored density forecasts : production and evaluation

Mitchell, James; Weale, Martin - In: Journal of applied econometrics 38 (2023) 5, pp. 714-734

Persistent link: https://www.econbiz.de/10014338140

Are low frequency macroeconomic variables important for high frequency electricity prices?

Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca - In: Economic modelling 120 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014384007

Yield spread selection in predicting recession probabilities

Choi, Jaehyuk; Ge, Desheng; Kang, Kyu Ho; Sohn, Sungbin - In: Journal of forecasting 42 (2023) 7, pp. 1772-1785

Persistent link: https://www.econbiz.de/10014432757

Modeling the time-varying dynamic term structure of interest rates

Choi, Ahjin; Kang, Kyu Ho - In: Journal of banking & finance 153 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014490339

Real-time inflation forecasting using non-linear dimension reduction techniques

Hauzenberger, Niko; Huber, Florian; Klieber, Karin - In: International journal of forecasting 39 (2023) 2, pp. 901-921

Persistent link: https://www.econbiz.de/10014465163

Bayesian forecast combination using time-varying features

Li, Li; Kang, Yanfei; Li, Feng - In: International journal of forecasting 39 (2023) 3, pp. 1287-1302

Persistent link: https://www.econbiz.de/10014465281

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23

Persistent link: https://www.econbiz.de/10014471820

Probability forecast combination via entropy regularized Wasserstein distance

Cumings-Menon, Ryan; Shin, Minchul - 2020 - Revised August 2020

Persistent link: https://www.econbiz.de/10012372954

No-arbitrage priors, drifting volatilities, and the term structure of interest rates

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2020

Persistent link: https://www.econbiz.de/10012388385

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