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Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
11 references·16 citing·34 second hop
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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2009This Time Is Different2,361 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2007Probabilistic Forecasts, Calibration and Sharpness1,774 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1976Scoring Rules for Continuous Probability Distributions950 cited
  • 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests519 cited

Cited by

  • 2014COHERENCE AND ELICITABILITY357 cited
  • 2013Copula Methods for Forecasting Multivariate Time Series323 cited
  • 2014Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility318 cited
  • 2015What is the best risk measure in practice? A comparison of standard measures

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

252 cited
  • 2017Elicitability and backtesting: Perspectives for banking regulation204 cited
  • 2012Real-Time Inflation Forecasting in a Changing World195 cited
  • 2024A review of predictive uncertainty estimation with machine learning174 cited
  • 2016A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger171 cited
  • 2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study167 cited
  • 2017Forecaster’s Dilemma: Extreme Events and Forecast Evaluation155 cited
  • 2016Evaluating predictive count data distributions in retail sales forecasting155 cited
  • 2013Time-varying combinations of predictive densities using nonlinear filtering152 cited
  • 2011Likelihood-based scoring rules for comparing density forecasts in tails149 cited
  • 2021Inventory – forecasting: Mind the gap115 cited
  • 2017Quantile Aggregation of Density Forecasts107 cited
  • 2019Probabilistic Forecasting with Spline Quantile Function RNNs94 cited