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Outline of forecast theory using generalized cost functions

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References

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2011The political economy of EDP fiscal forecasts: An empirical assessment132 cited
2001Fiscal forecasting: The track record of the IMF, OECD and EC123 cited
2002A consistent test for nonlinear out of sample predictive accuracy121 cited
2016Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data111 cited
2007NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES*104 cited
2010Data-based ranking of realised volatility estimators92 cited
2005Bagging binary and quantile predictors for time series77 cited
2005Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies71 cited
2020High-Frequency Volatility Forecasting of US Housing Markets

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2018Loss functions for Loss Given Default model comparison37 cited

2018Asymptotic inference about predictive accuracy using high frequency data28 cited

2020A new capability index for non-normal distributions based on linex loss function25 cited

2019Central bank forecasts and private expectations: An empirical assessment from three emerging economies16 cited