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Comparing possibly misspecified forecasts
Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 796-809
Persistent link: https://www.econbiz.de/10012313371
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Realising the future : forecasting with high-frequency-based volatility (heavy) models
Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 25 (2010) 2, pp. 197-231
Persistent link: https://www.econbiz.de/10008667609
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Realising the future: forecasting with high frequency based volatility (HEAVY) models
Shephard, Neil G.; Sheppard, Kevin - 2009
Persistent link: https://www.econbiz.de/10003875073
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Realising the future: forecasting with high frequency based volatility (HEAVY) models
Shephard, Neil G.; Sheppard, Kevin - 2009
Persistent link: https://www.econbiz.de/10003875108
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Properties of optimal forecasts
Patton, Andrew J.; Timmermann, Allan - 2003
Persistent link: https://www.econbiz.de/10001797250
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Testable implications for forecast optimality
Patton, Andrew J. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002814634
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Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.; Timmermann, Allan - In: Journal of econometrics 140 (2007) 2, pp. 884-918
Persistent link: https://www.econbiz.de/10003570041
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Testing Forecast Rationality for Measures of Central Tendency
Dimitriadis, Timo; Patton, Andrew J.; Schmidt, Patrick W. - 2020
Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of forecast rationality when the measure of...
Persistent link: https://www.econbiz.de/10012847416
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Better the devil you know : improved forecasts from imperfect models
Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: October 2021
Persistent link: https://www.econbiz.de/10012704988
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Testing forecast rationality for measures of central tendency
Dimitriadis, Timo; Patton, Andrew J.; Schmidt, Patrick W. - 2020
Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of forecast rationality when the measure of...
Persistent link: https://www.econbiz.de/10012300563