Search Results

Generalised Density Forecast Combinations,
Nicholas Fawcett, George Kapetanios, James Mitchell and Simon Price, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014)
Keywords: Density Forecasting, Model Combination, Scoring Rules

Comparing the Accuracy of Density Forecasts from Competing Models,
Lucio Sarno and Giorgio Valente, from Society for Computational Economics (2002)
Keywords: exchange rates; forecasting; forecast evaluation; density forecast.

Aggregate density forecasting from disaggregate components using Bayesian VARs,
Marcus Cobb, in Empirical Economics (2020)
Keywords: Bottom-up density forecasting, Density forecast combination

Censored Density Forecasts: Production and Evaluation,
James Mitchell and Martin Weale, from Federal Reserve Bank of Cleveland (2022)
Keywords: Forecast uncertainty; Outliers; Fan charts; Skewed densities; Best critical region; Density forecasting; Censoring; Forecast evaluation

Combining Multivariate Density Forecasts Using Predictive Criteria,
Hugo Gerard and Kristoffer Nimark, from Reserve Bank of Australia (2008)
Keywords: density forecasts; combining forecasts; predictive criteria

Combining multivariate density forecasts using predictive criteria,
Hugo Gerard and Kristoffer Nimark, from Department of Economics and Business, Universitat Pompeu Fabra (2008)
Keywords: Density forecasts, combining forecasts, predictive criteria

Chi-squared tests of interval and density forecasts and the Bank of England's fan charts,
Kenneth Wallis, from European Central Bank (2001)
Keywords: interval and density forecasts

Measuring Inflation Expectations: How the Response Scale Shapes Density Forecasts,
Christoph Becker, Peter Duersch and Thomas Eife, from University of Heidelberg, Department of Economics (2023)
Keywords: density forecast; Inflation; Experiment

Multivariate density forecast evaluation: A modified approach,
Stanley Iat-Meng Ko and Sung Y. Park, in International Journal of Forecasting (2013)
Keywords: Multivariate density forecasts; Contemporaneous correlation;

Forecast densities for economic aggregates from disaggregate ensembles,
Francesco Ravazzolo and Shaun Vahey, in Studies in Nonlinear Dynamics & Econometrics (2014)
Keywords: density combinations, disaggregates, ensemble forecasting

Density tourism demand forecasting revisited,
Haiyan Song, Long Wen and Chang Liu, in Annals of Tourism Research (2019)
Keywords: Tourism demand; Density forecasts; Scoring rules; Bootstrap;

Forecasting the density of oil futures,
Florian Ielpo and Benoît Sévi, from Department of Research, Ipag Business School (2014)
Keywords: mplied volatility,OVX, realized volatility, density forecasting, HAR.

Forecasting CPI Inflation Using Combination of Point Forecast and Density Forecast (in Korean),
Hyun Hak Kim, in Economic Analysis (Quarterly) (2015)
Keywords: CPI inflation, Point forecast, Forecast combination, Density forecast

Forecasting CPI Inflation Using Combination of Point Forecast and Density Forecast (in Korean),
Hyun Hak Kim, from Economic Research Institute, Bank of Korea (2015)
Keywords: CPI inflation, Point forecast, Forecast combination, Density forecast

Combining VAR and DSGE forecast densities,
Ida Wolden Bache, Anne Sofie Jore, James Mitchell and Shaun Vahey, in Journal of Economic Dynamics and Control (2011)
Keywords: Ensemble modeling Forecast densities Forecast evaluation VAR models DSGE models

Combining VAR and DSGE forecast densities,
Ida Wolden Bache, Anne Sofie Jore, James Mitchell and Shaun Vahey, from Norges Bank (2009)
Keywords: Ensemble modeling, Forecast densities, Forecast evaluation, VAR models, DSGE models

Constructing Optimal Density Forecasts from Point Forecast Combinations,
Luiz Lima and Wagner Gaglianone, from Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba (2012)
Keywords: forecast combination,quantile regression,density forecast

Density characteristics and density forecast performance: a panel analysis,
Geoff Kenny, Thomas Kostka and Federico Masera, in Empirical Economics (2015)
Keywords: Density forecasting, Forecast evaluation, Survey of professional forecasters, Panel data, C22, C53,

Does judgment improve macroeconomic density forecasts?,
Ana Galvão, Anthony Garratt and James Mitchell, in International Journal of Forecasting (2021)
Keywords: Judgment forecasting; Density forecasting; Skewness; Exponential tilting; Forecasting uncertainty;

How Informative are the Subjective Density Forecasts of Macroeconomists?,
Geoff Kenny, Thomas Kostka and Federico Masera, from CESifo (2011)
Keywords: density forecasts, forecast evaluation, real-time data, Survey of Professional Forecasters

Evaluating ensemble density combination - forecasting GDP and inflation,
Karsten R. Gerdrup, Anne Sofie Jore, Christie Smith and Leif Thorsrud, from Norges Bank (2009)
Keywords: forecasting, density combination; model combination; clustering; ensemble density; pits.

Optimal density forecast combinations,
Gergely Ganics, from Banco de España (2017)
Keywords: density forecasts, forecast combinations, probability integral transform, Kolmogorov-Smirnov, Cramer-von Mises, Anderson-Darling, Kullback-Leibler information criterion

Extracting the Information Shocks from the Bank of England Inflation Density Forecasts,
Carlos Díaz, from Division of Economics, School of Business, University of Leicester (2016)
Keywords: Inflation, density forecast, uncertainty, revisions, optimal forecasts.

Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty,
Francisco Peñaranda, from London School of Economics and Political Science, LSE Library (2003)
Keywords: density forecasts; forecast evaluation; return predictability

The Swedish Inflation Fan Charts: An Evaluation of the Riksbank?s Inflation Density Forecasts,
Kevin Dowd, from Industrial Economics Division (2004)
Keywords: Inflation density forecasting, Sveriges Riksbank, forecast evaluation

A Trading-Based Evaluation of Density Forecasts in a Real-Time Electricity Market,
Derek W. Bunn, Angelica Gianfreda and Stefan Kermer, in Energies (2018)
Keywords: electricity; forecasting; imbalances; density forecasts; trading

Aggregate density forecast of models using disaggregate data - A copula approach,
Kenneth Sæterhagen Paulsen, Tuva Marie Fastbø and Tobias Ingebrigtsen, from Norges Bank (2022)
Keywords: Aggregate forecast, disaggregates, density forecast, copula

Evaluating the calibration of multi-step-ahead density forecasts using raw moments,
Malte Knüppel, from Deutsche Bundesbank (2011)
Keywords: density forecast evaluation, normality tests

Short-term price density forecasts in the lean hog futures market,
Andres Trujillo-Barrera, Philip Garcia and Mindy Mallory, in European Review of Agricultural Economics (2018)
Keywords: density forecast, commodities, price analysis

Measuring Inflation Expectations: How the Response Scale Shapes Density Forecasts,
Christoph Becker, Peter Duersch and Thomas Eife, from University of Heidelberg, Department of Economics (2023)
Keywords: density forecast; survey; Inflation; Experiment

Financial conditions and density forecasts for US Output and inflation,
Piergiorgio Alessandri and Haroon Mumtaz, from Centre for Central Banking Studies, Bank of England (2013)
Keywords: Financial conditions, density forecasts, US, output, inflation

Oil-price density forecasts of US GDP,
Francesco Ravazzolo and Philip Rothman, in Studies in Nonlinear Dynamics & Econometrics (2016)
Keywords: business cycle, density forecasts, GDP, oil prices

A comparison of financial duration models via density forecasts,
Luc Bauwens, Pierre Giot, Joachim Grammig and David Veredas, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000)
Keywords: duration, high frequency data, density forecast.

Density forecasting through disaggregation,
Kun Ho Kim, in International Journal of Forecasting (2011)
Keywords: Density forecast Revised expectations model Disaggregation Hierarchical model Shrinkage effect Bayesian MCMC

Density forecasting through disaggregation,
Kun Ho Kim, in International Journal of Forecasting (2011)
Keywords: Density forecast; Revised expectations model; Disaggregation; Hierarchical model; Shrinkage effect; Bayesian MCMC;

Forecasting the density of asset returns,
Trino Ñíguez Grau and Javier Perote, from London School of Economics and Political Science, LSE Library (2004)
Keywords: Density forecasting; Edgeworth-Sargan distribution; probability integral transformations; P-value plots; VaR

Forecasting the density of asset returns,
Trino Ñíguez Grau and Javier Perote, from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2004)
Keywords: Density forecasting, Edgeworth-Sargan distribution, probability integral transformations, P-value plots, VaR

Load probability density forecasting by transforming and combining quantile forecasts,
Shu Zhang, Yi Wang, Yutian Zhang, Dan Wang and Ning Zhang, in Applied Energy (2020)
Keywords: Probabilistic load forecasting; Ensemble learning; Quantile forecasting; Probability density forecasting; Kernel density estimation;

Density forecasting for failure probability in manufacturing,
Ilmari Juutilainen, Satu Tamminen and Juha Röning, in European Journal of Industrial Engineering (2015)
Keywords: applied probability; manufacturing industry; quality control; failure probability; failure prediction; probability density function; density forecasting.

Nonparametric density forecast based on time‐ and state‐domain,
João Nicolau, in Journal of Forecasting (2011)
Keywords: density forecasts , nonparametric methods , earnings forecast , time series ,

Evaluating Density Forecasts with an Application to Stock Market Returns,
Burkhard Raunig and Gabriela de Raaij, from Deutsche Bundesbank (2002)
Keywords: Density forecasting, Forecast evaluation, Risk management, GARCH-models

A note on the estimation of optimal weights for density forecast combinations,
Laurent Pauwels and Andrey Vasnev, in International Journal of Forecasting (2016)
Keywords: Forecast combination; Density forecast; Optimization; Optimal weight; Discrete choice models;

Evaluating Density Forecasts with an Application to Stock Market Returns,
Gabriela de Raaij and Burkhard Raunig, from Oesterreichische Nationalbank (Austrian Central Bank) (2002)
Keywords: Density forecasting, Forecast evaluation, Risk management, GARCH-models

Density forecasting for long-term peak electricity demand,
Rob Hyndman and Shu Fan, from Monash University, Department of Econometrics and Business Statistics (2008)
Keywords: Long-term demand forecasting, density forecast, time series, simulation

Combining forecast densities from VARs with uncertain instabilities,
Anne-Sofie Jore, James Mitchell and Shaun Vahey, from Norges Bank (2008)
Keywords: Density forecasts, Uncertainty, Combining forecasts, Evaluating forcasts, VAR models

From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts,
Gergely Ganics, Barbara Rossi and Tatevik Sekhposyan, from Banco de España (2019)
Keywords: Survey of Professional Forecasters, density forecasts, forecast combination, predictive density, probability integral transform, uncertainty, real-time

From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts,
Gergely Ganics, Barbara Rossi and Tatevik Sekhposyan, from Department of Economics and Business, Universitat Pompeu Fabra (2019)
Keywords: Survey of professional forecasters, density forecasts, forecast combination, predictive density, probability integral transform, uncertainty, real-time.

From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts,
Gergely Ganics, Barbara Rossi and Tatevik Sekhposyan, from Barcelona School of Economics (2020)
Keywords: survey of professional forecasters, density forecasts, forecast combination, predictive density, probability integral transform, uncertainty, real-time

Density forecast comparison in small samples,
Laura Coroneo, Fabrizio Iacone and Fabio Profumo, from Department of Economics, University of York (2022)
Keywords: density forecast comparison, ECB SPF, Diebold-Mariano test, forecast encompassing, fixed-smoothing asymptotics

Practice Makes Perfect: Learning Effects with Household Point and Density Forecasts of Inflation,
Hana Braitsch, James Mitchell and Taylor Shiroff, from Federal Reserve Bank of Cleveland (2024)
Keywords: inflation expectations; surveys; forecaster heterogeneity; combination forecasts; density forecasting; learning

Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities,
Anne Opschoor, Dick van Dijk and Michel van der Wel, from Tinbergen Institute (2014)
Keywords: Density forecast evaluation, Volatility modeling, Censored likelihood, Value-at-Risk

Evaluating density forecasts,
Francis Diebold, Todd A. Gunther and Anthony S Tay, from Federal Reserve Bank of Philadelphia (1997)
Keywords: Forecasting

The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns*,
Yuzhi Cai and Julian Stander, in Journal of Financial Econometrics (2020)
Keywords: α-quantile density, density forecasting, QMLE, threshold, value-at-risk (VaR)

The role of macroeconomic and policy uncertainty in density forecast dispersion,
You Li and Anthony Tay, in Journal of Macroeconomics (2021)
Keywords: Surveys of professional forecasts; Density forecasts; Forecast dispersion; Macroeconomic uncertainty; Policy uncertainty;

Evaluating point and density forecasts of DSGE models,
Maik Wolters, from University Library of Munich, Germany (2012)
Keywords: DSGE models; forecasting; model uncertainty; forecast combination; density forecasts; real-time data; Greenbook

Evaluating point and density forecasts of DSGE models,
Maik Wolters, from Christian-Albrechts-University of Kiel, Department of Economics (2013)
Keywords: DSGE models, Bayesian VAR, forecasting, model uncertainty, forecast combination, density forecasts, real-time data, Greenbook

Evaluating point and density forecasts of DSGE models,
Maik Wolters, from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) (2012)
Keywords: DSGE models, forecasting, model uncertainty, forecast combination, density forecasts, real-time data, Greenbook

The forecast ability of risk-neutral densities of foreign exchange,
Ben Craig and Joachim Keller, from Deutsche Bundesbank (2005)
Keywords: Risk-neutral densities from option prices, American exchange rate options, Evaluating Density Forecasts, Pentionominal tree, Density evaluation

Comparing the accuracy of density forecasts from competing GARCH models,
Ahmed Shamiri, Abu Hassan Shaari and Zaidi Isa, from University Library of Munich, Germany (2008)
Keywords: Density, conditional distribution, forecast accuracy, GARCH, KLIC

The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts,
Michal Franta, from Czech National Bank (2013)
Keywords: density forecasting, nonlinearity, threshold autoregressive model.

Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities,
Jan G. Gooijer, in Journal of Applied Statistics (2007)
Keywords: Goodness-of-fit, multivariate density forecasts, uniform distribution,

Density forecasting using Bayesian global vector autoregressions with stochastic volatility,
Florian Huber, in International Journal of Forecasting (2016)
Keywords: Density forecasting; Large panels; Factor stochastic volatility;

Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility,
Florian Huber, from WU Vienna University of Economics and Business (2014)
Keywords: Density Forecasting; Stochastic Volatility; Global vector autoregressions

Price Density Forecasts in the U.S. Hog Markets: Composite Procedures,
Andres Trujillo-Barrera, Philip Garcia and Mindy Mallory, in American Journal of Agricultural Economics (2016)
Keywords: Commodity price analysis, density forecast combination

Real-time inflation forecast densities from ensemble Phillips curves,
Anthony Garratt, James Mitchell, Shaun Vahey and Elizabeth Wakerly, in The North American Journal of Economics and Finance (2011)
Keywords: Density combination Ensemble forecasting Phillips curve

Parametric Density Recalibration of a Fundamental Market Model to Forecast Electricity Prices,
Antonio Bello, Derek Bunn, Javier Reneses and Antonio Muñoz, in Energies (2016)
Keywords: electricity; prices; forecasting; fundamentals; hybrid; densities

Evaluation of exchange rate point and density forecasts: An application to Brazil,
Wagner Gaglianone and Jaqueline Terra Moura Marins, in International Journal of Forecasting (2017)
Keywords: Density forecasts; Exchange rate; Risk; Model selection;

Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility,
Florian Huber, from Vienna University of Economics and Business, Department of Economics (2014)
Keywords: Density Forecasting, Stochastic Volatility, Global vector autoregressions

A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting,
Yushu Li and Jonas Andersson, from Norwegian School of Economics, Department of Business and Management Science (2014)
Keywords: Likelihood ratio test; Markov Chain; Density forecasting

Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics,
James Mitchell, Aubrey Poon and Dan Zhu, from Federal Reserve Bank of Cleveland (2023)
Keywords: Density Forecasts; Quantile Regressions; Financial Conditions

The contribution of intraday jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi, in Journal of Economic Dynamics and Control (2020)
Keywords: Density forecasting; Jumps; Realized volatility; Median realized volatility; Leverage effect;

The contribution of intraday jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi, from HAL (2020)
Keywords: density forecasting,jumps,Realized volatility,median realized volatility,verage effect

The contribution of intraday jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi, from HAL (2020)
Keywords: density forecasting,jumps,Realized volatility,median realized volatility,verage effect

Evaluating Density Forecasts via the Copula Approach,
Xiaohong Chen and Yanqin Fan, from Vanderbilt University Department of Economics (2003)
Keywords: Density forecasts, Gaussian copula, probability integral transform, nonlinear time series

The contribution of jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi, from HAL (2017)
Keywords: density forecasting,jumps,realized volatility,bipower variation,median realized volatility,leverage effect

The contribution of jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi, from HAL (2017)
Keywords: density forecasting,jumps,realized volatility,bipower variation,median realized volatility,leverage effect

The contribution of jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi, from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2017)
Keywords: density forecasting; jumps; realized volatility; bipower variation; median realized volatility; leverage effect

Scoring rules and survey density forecasts,
Gianna Boero, Jeremy Smith and Kenneth Wallis, in International Journal of Forecasting (2011)
Keywords: Density forecast evaluation Brier (quadratic probability) score Epstein (ranked probability) score Logarithmic score Bank of England Survey of External Forecasters Missing data Forecast comparison

Scoring rules and survey density forecasts,
Gianna Boero, Jeremy Smith and Kenneth Wallis, in International Journal of Forecasting (2011)
Keywords: Density forecast evaluation; Brier (quadratic probability) score; Epstein (ranked probability) score; Logarithmic score; Bank of England Survey of External Forecasters; Missing data; Forecast comparison;

Power load probability density forecasting using Gaussian process quantile regression,
Yandong Yang, Shufang Li, Wenqi Li and Meijun Qu, in Applied Energy (2018)
Keywords: Power load forecasting; Gaussian process; Quantile regression; Probability density forecasting;

A deep learning model for short-term power load and probability density forecasting,
Zhifeng Guo, Kaile Zhou, Xiaoling Zhang and Shanlin Yang, in Energy (2018)
Keywords: Deep learning; Probability density forecasting; Feature engineering; Power load forecasting;

Forecasting daily return densities from intraday data: A multifractal approach,
Mark Hallam and Jose Olmo, in International Journal of Forecasting (2014)
Keywords: Density forecasts; Volatility forecasting; Multifractal; Unifractal; Intraday; Finance;

Evaluating density forecasts from models of stock market returns,
Gabriela De Raaij and Burkhard Raunig, in The European Journal of Finance (2005)
Keywords: Density forecasting, forecast evaluation, risk management, GARCH models,

A Bayesian method of combining judgmental and model-based density forecasts,
Andrzej Kocięcki, Marcin Kolasa and Michał Rubaszek, in Economic Modelling (2012)
Keywords: Combining density forecasts; Forecast evaluation; Bayesian inference; Predictivism;

Point, interval and density forecasts of exchange rates with time-varying parameter models,
Angela Abbate and Massimiliano Marcellino, from Deutsche Bundesbank (2016)
Keywords: exchange rates, forecasting, density forecasts, BVAR, time-varying parameters

Comparing density forecasts in a risk management context,
Cees Diks and Hao Fang, in International Journal of Forecasting (2020)
Keywords: Density forecast evaluation; Scoring rules; Skew-elliptical distributions; Portfolio risk assessment; Value-at-Risk forecasts;

Survey density forecast comparison in small samples,
Laura Coroneo, Fabrizio Iacone and Fabio Profumo, in International Journal of Forecasting (2024)
Keywords: Survey density forecast comparison; ECB SPF; Diebold–Mariano test; Forecast encompassing; Fixed-smoothing asymptotics;

Calibration and Resolution Diagnostics for Bank of England Density Forecasts,
John Galbraith and Simon van Norden, from CIRANO (2009)
Keywords: calibration, density forecast, probability forecast, resolu, calibration, prévisions de densité, probabilités implicites, résolution.

Proper scoring rules for evaluating asymmetry in density forecasting,
Matteo Iacopini, Francesco Ravazzolo and Luca Rossini, from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2020)
Keywords: asymmetric continuous probablistic score, asymmetric loss, proper score, density forecast, predictive distribution, weighted score, probabilistic forecast

Aggregate Density Forecasting from Disaggregate Components Using Large VARs,
Marcus Cobb, from University Library of Munich, Germany (2017)
Keywords: Density Forecasting; Bottom-up forecasting; Hierarchical forecasting; Bayesian VAR; Forecast calibration