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Evaluation and Combination of Conditional Quantile Forecasts · Study

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PreprintEvaluation and Combination of Conditional Quantile Forecasts

Raffaella Giacomini2002

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Preprintgreen2002

Evaluation and Combination of Conditional Quantile Forecasts

Raffaella Giacomini · Ivana Komunjer

62 citations·0/0 files stored·SSRN Electronic Journal

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Forecasting Techniques and Applications Financial Risk and Volatility Modeling Statistical Methods and Inference

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References

1969The Combination of Forecasts 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1989Combining forecasts: A review and annotated bibliography 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1989Simulation and the Asymptotics of Optimization Estimators 1996Asymptotic Inference about Predictive Ability 1997An Overview of Value at Risk

Cited by

2018On the Comparison of Interval Forecasts 2017Combining Value-at-Risk forecasts using penalized quantile regressions 2013Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 2020Forecasting value at risk and expected shortfall with mixed data sampling 2012Currency hedging strategies using dynamic multivariate GARCH

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2009Forecast Combination and Encompassingchapter · 11 shared references 2005Evaluation and Combination of Conditional Quantile Forecastsarticle · 10 shared references 2010Evaluating Value-at-Risk Models via Quantile Regressionarticle · 7 shared references 2005Volatility Forecastingreport · 7 shared references 2000Density Forecasting: A Surveyarticle · 7 shared references 2000Density forecasting: a surveyarticle · 6 shared references

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Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations62

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.2139/ssrn.318728

openalex_workW2114119944

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