SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Constructing Density Forecasts from Quantile Regressions
16 references·3 citing·49 second hop
Constructing Density Forecasts from Quantile Regressions (2012)Constructing Density Forecasts from Quant…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Quantile regression for dynamic panel data with fixed effects (2011)Quantile regression for dynam…Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion (2010)Why do forecasters disagree? …Evaluating Value-at-Risk Models via Quantile Regression (2010)Evaluating Value-at-Risk Mode…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Testing Forecast Optimality Under Unknown Loss (2007)Testing Forecast Optimality U…Chapter 10 Forecasting with Many Predictors (2006)Chapter 10 Forecasting with M…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Evaluating the Bank of England Density Forecasts of Inflation (2004)Evaluating the Bank of Englan…Testing Parametric Conditional Distributions of Dynamic Models (2003)Testing Parametric Conditiona…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Optimal Prediction Under Asymmetric Loss (1997)Optimal Prediction Under Asym…Forecasting Economic Time Series (1986)Forecasting Economic Time Ser…A RE‐EXAMINATION OF MARKET AND INDUSTRY FACTORS IN STOCK PRICE BEHAVIOR (1973)A RE‐EXAMINATION OF MARKET AN…The Combination of Forecasts (1969)The Combination of ForecastsPrediction with a Generalized Cost of Error Function (1969)Prediction with a Generalized…Modeling tail risks of inflation using unobserved component quantile regressions (2022)Modeling tail risks of inflat…Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks (2022)Attention to the Tail(s): Glo…Out-of-Sample Return Predictability: A Quantile Combination Approach (2016)Out-of-Sample Return Predicta…Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Chapter 4 Forecast Combinations (2006)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)Determining the Number of Factors in Approximate Factor Models (2002)Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting with Medium and Large Bayesian VARS (2011)Predicting stock returns in the presence of COVID-19 pandemic: The role of health news (2020)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017)European commitment to COP21 and the role of energy consumption, FDI, trade and economic complexity in sustaining economic growth (2020)The heterogeneity of renewable energy consumption, carbon emission and financial development in the globe: A panel quantile regression approach (2020)Macroeconomic Forecasting Using Diffusion Indexes (2002)Social Value of Public Information (2002)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Inattentive professional forecasters (2013)Overconfidence in Political Behavior (2015)Why Does Return Predictability Concentrate in Bad Times? (2017)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Large Bayesian vector auto regressions (2009)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Autoregressive Conditional Density Estimation (1994)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Density forecasting: a survey (2000)Forecasting economic and financial time-series with non-linear models (2004)Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)Forecasting Stock Returns (2013)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Fiscal Volatility Shocks and Economic Activity (2015)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)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Forecasting the behavior of multivariate time series using neural networks (1992)The Effectiveness of Antiterrorism Policies: A Vector-Autoregression-Intervention Analysis (1993)Economic and statistical measures of forecast accuracy (2000)
this work references cited by second hop

References

  • 1969The Combination of Forecasts3,194 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 1986Forecasting Economic Time Series714 cited
  • 2011Quantile regression for dynamic panel data with fixed effects424 cited
  • 2006Chapter 10 Forecasting with Many Predictors382 cited
  • 1997Optimal Prediction Under Asymmetric Loss342 cited
  • 2010Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion341 cited
  • 1969Prediction with a Generalized Cost of Error Function323 cited
  • 2003Testing Parametric Conditional Distributions of Dynamic Models252 cited
  • 2010Evaluating Value-at-Risk Models via Quantile Regression179 cited
  • 2007Testing Forecast Optimality Under Unknown Loss169 cited
  • 1973A RE‐EXAMINATION OF MARKET AND INDUSTRY FACTORS IN STOCK PRICE BEHAVIOR143 cited
  • 2004

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

Evaluating the Bank of England Density Forecasts of Inflation
124 cited

Cited by

  • 2016Out-of-Sample Return Predictability: A Quantile Combination Approach41 cited
  • 2022Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks26 cited
  • 2022Modeling tail risks of inflation using unobserved component quantile regressions18 cited