The problem of finding appropriate weights to combine several density forecasts is an important issue that is currently being debated in the forecast combination literature. A recent paper by Hall and Mitchell (IJF, 2007) proposes to combine density forecasts with the weights obtained from...

The majority of nancial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combination methodology has been developed to combine predictive densities. We show that combining individual predictive densities that are skewed...

The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combination methodology has been developed to combine predictive densities. We show that combining individual predictive densities that are...