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Comparing density forecasts in a risk management context
Diks, Cees G. H.; Fang, Hao - In: International journal of forecasting 36 (2020) 2, pp. 531-551
Persistent link: https://www.econbiz.de/10012415217
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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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Nonparametric expected shortfall forecasting incorporating weighted quantiles
Storti, Giuseppe; Wang, Chao - In: International journal of forecasting 38 (2022) 1, pp. 224-239
Persistent link: https://www.econbiz.de/10013347785
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Understanding machine learning-based forecasting methods : a decomposition framework and research opportunities
Bojer, Casper Solheim - In: International journal of forecasting 38 (2022) 4, pp. 1555-1561
Persistent link: https://www.econbiz.de/10014381162
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Forecasting monthly and quarterly time series using STL decomposition
Theodosiou, Marina - In: International journal of forecasting 27 (2011) 4, pp. 1178-1195
Persistent link: https://www.econbiz.de/10009316793
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Dimensionality reduction in forecasting with temporal hierarchies
Nystrup, Peter; Lindström, Erik; Møller, Jan K.; … - In: International journal of forecasting 37 (2021) 3, pp. 1127-1146
Persistent link: https://www.econbiz.de/10012794823
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Beta forecasting at long horizons
Cenesizoglu, Tolga; Ribeiro, Fabio de Oliveira Ferrazoli; … - In: International journal of forecasting 33 (2017) 4, pp. 936-957
Persistent link: https://www.econbiz.de/10011746930
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Forecasting risk with Markov-switching GARCH models : a large-scale performance study
Ardia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo - In: International journal of forecasting 34 (2018) 4, pp. 733-747
Persistent link: https://www.econbiz.de/10012031094
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Forecasting macroeconomic risks
Adams, Patrick A.; Adrian, Tobias; Boyarchenko, Nina; … - In: International journal of forecasting 37 (2021) 3, pp. 1173-1191
Persistent link: https://www.econbiz.de/10012794835
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Distance and prediction error variance constraints for ARMA model portfolios
Chenoweth, Timothy; Dowling, Karen; Hubata, Robert - In: International journal of forecasting 20 (2004) 1, pp. 41-52
Persistent link: https://www.econbiz.de/10001918277