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Interval forecasting
3 references·16 citing·46 second hop
Interval forecasting (1989)Interval forecastingCombining competing forecasts of inflation using a bivariate arch model (1984)Combining competing forecasts…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Combination of Forecasts (1969)The Combination of ForecastsForecast combinations for value at risk and expected shortfall (2019)Forecast combinations for val…On the Comparison of Interval Forecasts (2018)On the Comparison of Interval…Quantile Aggregation of Density Forecasts (2017)Quantile Aggregation of Densi…Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation (2011)Using CAViaR Models with Impl…The predictive power of value-at-risk models in commodity futures markets (2010)The predictive power of value…Local linear spatial quantile regression (2009)Local linear spatial quantile…Explanations of the inconsistencies in survey respondents’ forecasts (2009)Explanations of the inconsist…Dynamic quantile models (2008)Dynamic quantile modelsVOLATILITY AND CORRELATION FORECASTING (2006)VOLATILITY AND CORRELATION FO…Density forecasting for weather derivative pricing (2005)Density forecasting for weath…Bootstrap prediction intervals for ARCH models (2004)Bootstrap prediction interval…A comparison of temperature density forecasts from GARCH and atmospheric models (2004)A comparison of temperature d…Evaluating interval forecasts of high‐frequency financial data (2003)Evaluating interval forecasts…Evaluating multivariate forecast densities: a comparison of two approaches (2002)Evaluating multivariate forec…Density Forecasting: A Survey (2000)Density Forecasting: A SurveyEvaluating volatility and interval forecasts (1999)Evaluating volatility and int…Forecasting Volatility in Financial Markets: A Review (2003)CAViaR (2004)Are the KOSPI 200 implied volatilities useful in value-at-risk models? (2014)Quantile autoregression neural network model with applications to evaluating value at risk (2016)Combining Value-at-Risk forecasts using penalized quantile regressions (2017)Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)STATISTICS FOR SPATIAL DATA (1992)Statistics for Spatial Data (1993)Geographically Weighted Quantile Regression ( GWQR ): An Application to U . S . Mortality Data (2012)Spatial Quantile Multiple Regression Using the Asymmetric Laplace Process (2012)Progress in Spatial Demography (2013)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Evaluating Interval Forecasts (1998)Kernel density estimation for time series data (2011)Conditional quantiles and tail dependence (2015)Nonlinear panel data estimation via quantile regressions (2016)Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (1978)The combination of forecasts using changing weights (1994)Forecasting Economic Time Series (2000)Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer. 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(2007)Selection of Value at Risk Models for Energy Commodities (2018)Comparing trained and untrained probabilistic ensemble forecasts of COVID-19 cases and deaths in the United States (2022)Fairness-aware large-scale collective opinion generation paradigm: A case study of evaluating blockchain adoption barriers in medical supply chain (2023)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1969The Combination of Forecasts3,194 cited
  • 1984Combining competing forecasts of inflation using a bivariate arch model164 cited

Cited by

  • 2009Local linear spatial quantile regression111 cited
  • 2017Quantile Aggregation of Density Forecasts107 cited
  • 2008Dynamic quantile models92 cited
  • 2019Forecast combinations for value at risk and expected shortfall91 cited
  • 2006VOLATILITY AND CORRELATION FORECASTING87 cited
  • 2009Explanations of the inconsistencies in survey respondents’ forecasts69 cited
  • 2011Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation65 cited
  • 2005Density forecasting for weather derivative pricing59 cited
  • 2003Evaluating interval forecasts of high‐frequency financial data58 cited
  • 1999Evaluating volatility and interval forecasts56 cited
  • 2002Evaluating multivariate forecast densities: a comparison of two approaches56 cited
  • 2000Density Forecasting: A Survey54 cited

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2018
On the Comparison of Interval Forecasts
53 cited
  • 2004A comparison of temperature density forecasts from GARCH and atmospheric models52 cited
  • 2010The predictive power of value-at-risk models in commodity futures markets47 cited
  • 2004Bootstrap prediction intervals for ARCH models46 cited