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Testing Forecast Optimality Under Unknown Loss
16 references·16 citing·40 second hopsampled
Testing Forecast Optimality Under Unknown Loss (2007)Testing Forecast Optimality Under Unknown…Evaluation of Economic Forecasts (2016)Evaluation of Economic Foreca…Weather Forecasting for Weather Derivatives (2005)Weather Forecasting for Weath…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …A real-time data set for macroeconomists (2001)A real-time data set for macr…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Federal Reserve Information and the Behavior of Interest Rates (2000)Federal Reserve Information a…Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)Has the U.S. Economy Become M…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsEstimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Systematic errors in growth expectations over the business cycle (2017)Systematic errors in growth e…Out-of-Sample Return Predictability: A Quantile Combination Approach (2016)Out-of-Sample Return Predicta…Forecasting in Economics and Finance (2016)Forecasting in Economics and …Forecasting and Policy Making (2013)Forecasting and Policy MakingForecast Rationality Tests Based on Multi-Horizon Bounds (2012)Forecast Rationality Tests Ba…Constructing Density Forecasts from Quantile Regressions (2012)Constructing Density Forecast…Choice of Sample Split in Out-of-Sample Forecast Evaluation (2012)Choice of Sample Split in Out…Are Some Forecasters Really Better Than Others? (2012)Are Some Forecasters Really B…Multivariate Forecast Evaluation and Rationality Testing (2011)Multivariate Forecast Evaluat…Are Analysts' Loss Functions Asymmetric? (2011)Are Analysts' Loss Functions …Prediction of steel prices: A comparison between a conventional regression model and MSSA (2010)Prediction of steel prices: A…Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach (2010)Predictability of Output Grow…Internal Consistency of Survey Respondents' Forecasts: Evidence Based on the Survey of Professional Forecasters* (2009)Internal Consistency of Surve…Forecast Combination and Encompassing (2009)Forecast Combination and Enco…Explanations of the inconsistencies in survey respondents’ forecasts (2009)Explanations of the inconsist…Detecting and Predicting Forecast Breakdowns (2006)Detecting and Predicting Fore…Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Forecasting Output and Inflation: The Role of Asset Prices (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Uncertainty, Financial Frictions, and Investment Dynamics (2014)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What is an Oil Shock? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)American Economic Review (2019)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Why Has U.S. Inflation Become Harder to Forecast? (2007)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle1,174 cited
  • 2000Federal Reserve Information and the Behavior of Interest Rates1,049 cited
  • 1979Forecasting Economic Time Series1,004 cited
  • 1998Forecasting Economic Time Series863 cited
  • 2001A real-time data set for macroeconomists787 cited
  • 2016Evaluation of Economic Forecasts529 cited

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2005
Weather Forecasting for Weather Derivatives
403 cited

Cited by

  • 2012Forecast Rationality Tests Based on Multi-Horizon Bounds137 cited
  • 2012Choice of Sample Split in Out-of-Sample Forecast Evaluation137 cited
  • 2009Forecast Combination and Encompassing120 cited
  • 2013Forecasting and Policy Making79 cited
  • 2009Explanations of the inconsistencies in survey respondents’ forecasts69 cited
  • 2016Forecasting in Economics and Finance69 cited
  • 2010Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach62 cited
  • 2012Constructing Density Forecasts from Quantile Regressions58 cited
  • 2011Multivariate Forecast Evaluation and Rationality Testing55 cited
  • 2011Are Analysts' Loss Functions Asymmetric?48 cited
  • 2009Internal Consistency of Survey Respondents' Forecasts: Evidence Based on the Survey of Professional Forecasters*46 cited
  • 2017Systematic errors in growth expectations over the business cycle44 cited
  • 2006Detecting and Predicting Forecast Breakdowns42 cited
  • 2016Out-of-Sample Return Predictability: A Quantile Combination Approach41 cited
  • 2012Are Some Forecasters Really Better Than Others?40 cited
  • 2010Prediction of steel prices: A comparison between a conventional regression model and MSSA38 cited