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Limit theory for forecasts of extreme distortion risk measures and expectiles

Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 1, pp. 18-44

Persistent link: https://www.econbiz.de/10012878185

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

Localizing strictly proper scoring rules supplementary material on localizing strictly proper scoring rules

Punder, Ramon de; Diks, Cees G. H.; Laeven, Roger J. A.; … - In: CeNDEF working paper (2023) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10014377691

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 - 2022

Persistent link: https://www.econbiz.de/10013375498

Localizing strictly proper scoring rules

Punder, Ramon de; Diks, Cees G. H.; Laeven, Roger J. A.; … - 2023

scoring rule to a censored distribution, acknowledging that censoring emerges as a natural localization device due to its …, inflation and climate data consistently emphasize the superior power properties of censoring. …

Persistent link: https://www.econbiz.de/10014450615

Robust nonparametric estimation and prediction in ARCH-related models

Cron, Axel - 1997

Persistent link: https://www.econbiz.de/10000633843

Calibrating sales forecasts in a pandemic using competitive online nonparametric regression

Simchi-Levi, David; Sun, Rui; Wu, Michelle Xiao; Zhu, Ruihao - In: Management science : journal of the Institute for … 70 (2024) 10, pp. 6502-6518

Persistent link: https://www.econbiz.de/10015138186

Instrument-free identification and estimation of differentiated products models

Byrne, David; Imai, Susumu; Sarafidis, Vasilis; … - 2015

We propose a new methodology for estimating the demand and cost functions of differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity of outputs to cost shocks, but does not require instruments...

Persistent link: https://www.econbiz.de/10010463385

Semiparametrische Regressionsmodelle in der Versorgungsplanung : Vorhersage von Inzidenzraten unter Berücksichtigung der demographischen Entwicklung

Säfken, Benjamin - 2015 - Aufl. 2015

Persistent link: https://www.econbiz.de/10010484127