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Time-varying combinations of predictive densities using nonlinear filtering · Study

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ArticleTime-varying combinations of predictive densities using nonlinear filtering

Monica Billio2013

OA

Articlegreen2013

Time-varying combinations of predictive densities using nonlinear filtering

Monica Billio · Roberto Casarin · Francesco Ravazzolo · Herman K. van Dijk

152 citations·0/0 files stored·Journal of Econometrics

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Forecasting Techniques and Applications Target Tracking and Data Fusion in Sensor Networks Markov Chains and Monte Carlo Methods

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 152 citations exist upstream.

References

2007Strictly Proper Scoring Rules, Prediction, and Estimation 1995Comparing Predictive Accuracy 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1969The Combination of Forecasts 2006Approximately normal tests for equal predictive accuracy in nested models 1997Testing the equality of prediction mean squared errors 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US 1996Asymptotic Inference about Predictive Ability

Cited by

2016Dynamic prediction pools: An investigation of financial frictions and forecasting performance 2018Dynamic Bayesian predictive synthesis in time series forecasting 2017Quantile Aggregation of Density Forecasts 2016On the correlation between commodity and equity returns: Implications for portfolio allocation 2018Alternative tests for correct specification of conditional predictive densities 2019The combination of interval forecasts in tourism 2015Optimal combination of survey forecasts 2015Generalised density forecast combinations

Details

Year2013

Typearticle

Published2013-04-18

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations152

Files0 public / 0

ShelfForecasting Techniques and Applications

Identifiers

doi10.1016/j.jeconom.2013.04.009

openalex_workW3122963173

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