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Conditional Predictive Density Evaluation in the Presence of Instabilities · Study

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ArticleConditional Predictive Density Evaluation in the Presence of Instabilities

Barbara Rossi2012

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Conditional Predictive Density Evaluation in the Presence of Instabilities

Barbara Rossi · Tatevik Sekhposyan

30 citations·0/0 files stored·Journal of Econometrics

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1998Evaluating Density Forecasts with Applications to Financial Risk Management 1996Asymptotic Inference about Predictive Ability 2007Do macro variables, asset markets, or surveys forecast inflation better?2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests 1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates 2003Testing Parametric Conditional Distributions of Dynamic Models

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Year2012

Typearticle

Published2012-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations30

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/j.jeconom.2013.04.008

openalex_workW2051152944

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