Search Results - subject:"Forecast combining"

Combining probabilistic forecasts of COVID-19 mortality in the United States

Taylor, James W.; Taylor, Kathryn S. - In: European journal of operational research : EJOR 304 (2023) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10013454170

A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies

Trucíos, Carlos; Taylor, James W. - In: Journal of forecasting 42 (2023) 4, pp. 989-1007

Persistent link: https://www.econbiz.de/10014292894

Forecasting using predictive likelihood model averaging

Kapetanios, George; Labhard, Vincent; Price, Simon - 2006

Recently, there has been increasing interest in forecasting methods that utilise large datasets. We explore the possibility of forecasting with model averaging using the out-of-sample forecasting performance of various models in a frequentist setting, using the predictive likelihood. We apply...

Persistent link: https://www.econbiz.de/10010284123

Forecasting using Bayesian and information theoretic model averaging: An application to UK inflation

Kapetanios, George; Labhard, Vincent; Price, Simon - 2006

In recent years there has been increasing interest in forecasting methods that utilise large datasets, driven partly by the recognition that policymaking institutions need to process large quantities of information. Factor analysis is one popular way of doing this. Forecast combination is...

Persistent link: https://www.econbiz.de/10010284215

Time Series Models for Forecasting: Testing or Combining?

Chen, Zhuo; Yang, Yuhong - In: Studies in Nonlinear Dynamics & Econometrics 11 (2008) 1, pp. 1385-1385

use of forecast combining when there is considerable instability in model selection by testing procedures. On the other … hand, when there is little instability, testing procedures could work well or even better than forecast combining in terms …

Persistent link: https://www.econbiz.de/10004966144

Combining Forecasts with Nonparametric Kernel Regressions

Li, Fuchun; Tkacz, Greg - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 4, pp. 1129-1129

We introduce a flexible nonparametric technique that can be used to select weights in a forecast-combining regression … nonlinear forecast-combining procedures. The simulation results show that when forecast errors are correlated across models, the … application to inflation forecasting is also presented to demonstrate the use of all forecast-combining techniques. …

Persistent link: https://www.econbiz.de/10004966209

Time Series Models for Forecasting: Testing or Combining?

Chen, Zhuo; Yang, Yuhong - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 1, pp. 1385-1385

Persistent link: https://www.econbiz.de/10005579856

Extended switching regression models with time-varying probabilities for combining forecasts

Preminger, Arie; Ben-Zion, Uri; Wettstein, David - In: The European Journal of Finance 12 (2006) 6-7, pp. 455-472

This paper introduces a new methodology, which extends the well-known switching regression model. The extension is via the introduction of several latent state variables, each one of which influencing a disjoint set of the model parameters. Furthermore, the probability distribution of the state...

Persistent link: https://www.econbiz.de/10005471900

Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation

Kapetanios, George; Labhard, Vincent; Price, Simon - School of Economics and Finance, Queen Mary - 2006

Persistent link: https://www.econbiz.de/10005106353

Forecasting Using Predictive Likelihood Model Averaging

Kapetanios, George; Labhard, Vincent; Price, Simon - School of Economics and Finance, Queen Mary - 2006

Persistent link: https://www.econbiz.de/10005106379