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Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests
12 references·16 citing·38 second hop
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests (2015)Comparing Predictive Accuracy, Twenty Yea…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Asymptotics for out of sample tests of Granger causality (2006)Asymptotics for out of sample…In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)In-Sample or Out-of-Sample Te…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…Efficient market hypothesis and forecasting (2003)Efficient market hypothesis a…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyA New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Option Return Predictability with Machine Learning and Big Data (2023)Option Return Predictability …LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios (2023)LSTM–GARCH Hybrid Model for t…Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors (2019)Large Bayesian vector autoreg…Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting (2019)Exogenous drivers of Bitcoin …Carbon price forecasting with complex network and extreme learning machine (2019)Carbon price forecasting with…Risk Everywhere: Modeling and Managing Volatility (2018)Risk Everywhere: Modeling and…Empirical Asset Pricing via Machine Learning (2018)Empirical Asset Pricing via M…Resolution of policy uncertainty and sudden declines in volatility (2017)Resolution of policy uncertai…Measuring Business Cycles Intra‐Synchronization in US: A Regime‐switching Interdependence Framework (2017)Measuring Business Cycles Int…Google Trends and reality: Do the proportions match? 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this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 2005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?756 cited
  • 2006Asymptotics for out of sample tests of Granger causality697 cited
  • 2003Efficient market hypothesis and forecasting516 cited

Cited by

  • 2018Empirical Asset Pricing via Machine Learning384 cited
  • 2018Risk Everywhere: Modeling and Managing Volatility357 cited
  • 2015Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach323 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

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  • 2019Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting183 cited
  • 2017Forecaster’s Dilemma: Extreme Events and Forecast Evaluation155 cited
  • 2017Resolution of policy uncertainty and sudden declines in volatility154 cited
  • 2015A note on the Mean Absolute Scaled Error139 cited
  • 2019Carbon price forecasting with complex network and extreme learning machine126 cited
  • 2013Quadratic Variance Swap Models105 cited
  • 2017Measuring Business Cycles Intra‐Synchronization in US: A Regime‐switching Interdependence Framework99 cited
  • 2016Global equity market volatility spillovers: A broader role for the United States91 cited
  • 2017Google Trends and reality: Do the proportions match?91 cited
  • 2023LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios87 cited