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Conditional Predictive Density Evaluation in the Presence of Instabilities
16 references·0 citing·44 second hop
Conditional Predictive Density Evaluation in the Presence of Instabilities (2012)Conditional Predictive Density Evaluation…Likelihood-based scoring rules for comparing density forecasts in tails (2011)Likelihood-based scoring rule…Do macro variables, asset markets, or surveys forecast inflation better? (2007)Do macro variables, asset mar…Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007)Comparing Density Forecasts v…Chapter 5 Predictive Density Evaluation (2006)Chapter 5 Predictive Density …Predictive density and conditional confidence interval accuracy tests (2005)Predictive density and condit…Bootstrap conditional distribution tests in the presence of dynamic misspecification (2005)Bootstrap conditional distrib…Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Nonparametric Specification T…Testing Parametric Conditional Distributions of Dynamic Models (2003)Testing Parametric Conditiona…Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* (2003)Selecting a Nonlinear Time Se…TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES (2001)TESTING FOR DISTRIBUTIONAL CH…Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters (1999)Evaluating Density Forecasts …Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger (1999)Cointegration, causality, and…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters (1997)Evaluating Density Forecasts …Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Comparing Predictive Accuracy (1994)Econometric Analysis of Cross Section and Panel Data (2001)Chapter 8 Forecasting economic variables with nonlinear models (2006)Combining inflation density forecasts (2010)Quantile Aggregation of Density Forecasts (2017)Econometric Analysis of Panel Data (2021)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing normality: a GMM approach (2004)Backtesting Expected Shortfall: Accounting for Tail Risk (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules (2010)Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility (2010)Dynamic Conditional Correlation: On Properties and Estimation (2013)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? 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References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2007Do macro variables, asset markets, or surveys forecast inflation better?801 cited
  • 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests519 cited
  • 1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger313 cited
  • 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates311 cited
  • 2003Testing Parametric Conditional Distributions of Dynamic Models252 cited
  • 1999Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters151 cited
  • 2006Chapter 5 Predictive Density Evaluation149 cited
  • 2011Likelihood-based scoring rules for comparing density forecasts in tails149 cited
  • 2001TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES124 cited
  • 2005Predictive density and conditional confidence interval accuracy tests108 cited
  • 2005Bootstrap conditional distribution tests in the presence of dynamic misspecification106 cited
  • 2003

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Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy*
84 cited
  • 1997Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters54 cited
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