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Predictive Density Evaluation
16 references·1 citing·42 second hop
Predictive Density Evaluation (2005)Predictive Density EvaluationEconometric Analysis of Panel Data (2021)Econometric Analysis of Panel…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Testing Density Forecasts, With Applications to Risk Management (2001)Testing Density Forecasts, Wi…Econometric Analysis of Cross Section and Panel Data (2001)Econometric Analysis of Cross…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …An Overview of Value at Risk (1997)An Overview of Value at RiskInference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracySimple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Testing for causality (1980)Testing for causalityForecasting Economic Time Series (1979)Forecasting Economic Time Ser…The Evolution of Forecast Density Combinations in Economics (2019)The Evolution of Forecast Den…Econometric Models for Count Data with an Application to the Patents-R&D Relationship (1984)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Introductory Econometrics for Finance (2008)Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Cross-Sectional versus Longitudinal Survey Research: Concepts, Findings, and Guidelines (2008)Testing for Granger non-causality in heterogeneous panels (2012)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Another look at the instrumental variable estimation of error-components models (1995)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Corporate social responsibility and access to finance (2013)The China Syndrome: Local Labor Market Effects of Import Competition in the United States (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)Macroeconomic Forecasting Using Diffusion Indexes (2002)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 2001Econometric Analysis of Cross Section and Panel Data27,575 cited
  • 2021Econometric Analysis of Panel Data15,089 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1980Testing for causality1,747 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 1979Forecasting Economic Time Series1,004 cited
  • 2001Testing Density Forecasts, With Applications to Risk Management

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  • 2019The Evolution of Forecast Density Combinations in Economics42 cited