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Forecaster’s Dilemma: Extreme Events and Forecast Evaluation
16 references·4 citing·34 second hop
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References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 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
  • 2006Expert political judgment: how good is it? how can we know?1,260 cited
  • 2004Statistics of Extremes1,204 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2000Federal Reserve Information and the Behavior of Interest Rates1,049 cited
  • 2011Quantitative Risk Management985 cited
  • 1952Rational Decisions975 cited
  • 1976Scoring Rules for Continuous Probability Distributions950 cited

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Cited by

  • 2020Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis117 cited
  • 2021Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them65 cited
  • 2021CAN MACHINE LEARNING CATCH THE COVID-19 RECESSION?38 cited
  • 2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile30 cited