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Backtesting value-at-risk using forecasts for multiple horizons, a comment on the forecast rationality tests of A. J. Patton A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - 2011
Persistent link: https://www.econbiz.de/10009720750
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Backtesting Value-at-Risk Using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F. - 2011
Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...
Persistent link: https://www.econbiz.de/10013120348
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Evaluating real-time forecasts in real-time
Dijk, Dick van (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003753981
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Bayesian near-boundary analysis in basic macroeconomic time series models
Pooter, Michiel de; Ravazzolo, Francesco; Segers, Rene; … - 2008
Persistent link: https://www.econbiz.de/10003754318
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Forecast accuracy and economic gains from Bayesian model averaging using time varying weights
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - 2009
Persistent link: https://www.econbiz.de/10003861024
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Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information
Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007
Persistent link: https://www.econbiz.de/10003482707
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Real-time inflation forecasting in a changing world
Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - 2010
Persistent link: https://www.econbiz.de/10003920144
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Term structure forecasting using macro factors and forecast combination
Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2010
Persistent link: https://www.econbiz.de/10003937282
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Forecast densities for economic aggregates from disaggregate ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - 2010
Persistent link: https://www.econbiz.de/10003939661
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Forecast densities for economic aggregates from disaggregate ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - 2010
Persistent link: https://www.econbiz.de/10003978284