Search Results - subject:"Quadratic Probability Score"

Composite leading indicators of economic activity : an application to Rio de Janeiro's upstream oil and gas industry

Patrocínio, Rafael Gonçalves; Colombo, Jéfferson Augusto - In: Revista Brasileira de Finanças : RBFin 18 (2020) 2, pp. 55-81

Persistent link: https://www.econbiz.de/10012301170

Testing the Power of Leading Indicators to Predict Business Cycle Phase Changes

Layton, Allan; Smith, Daniel R. - School of Economics and Finance, Business School - 2005

Diebold and Rudebusch (1989) is the so-called quadratic probability score, or QPS. However, an important limitation to the use …

Persistent link: https://www.econbiz.de/10005181703

Scoring rules and survey density forecasts

Boero, Gianna; Smith, Jeremy; Wallis, Kenneth F. - In: International Journal of Forecasting 27 (2011) 2, pp. 379-393

This article provides a practical evaluation of some leading density forecast scoring rules in the context of forecast surveys. We analyse the density forecasts of UK inflation obtained from the Bank of England’s Survey of External Forecasters, considering both the survey average forecasts...

Persistent link: https://www.econbiz.de/10010577339

Comparing Probability Forecasts in Markov Regime Switching Business Cycle Models

Smith, Daniel R.; Layton, Allan - In: Journal of Business Cycle Measurement and Analysis 2007 (2007) 1, pp. 79-98

the NBER business cycle chronology. This is typically done using the quadratic probability score, or QPS (Diebold and …

Persistent link: https://www.econbiz.de/10008492374

Asian Pacific Stock Market Volatility Modeling and Value at Risk Analysis

SU, ENDER; KNOWLES, THOMAS W. - In: Emerging Markets Finance and Trade 42 (2006) 2, pp. 18-62

delta normal VaR; the quadratic probability score (QPS) shows that the EWMA is inclined to underestimate the VaR for a …

Persistent link: https://www.econbiz.de/10005753685