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Model Diagnostics and Forecast Evaluation for Quantiles
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Model Diagnostics and Forecast Evaluation for Quantiles (2022)Model Diagnostics and Forecast Evaluation…Vulnerable Growth (2019)Vulnerable GrowthForecaster’s Dilemma: Extreme Events and Forecast Evaluation (2017)Forecaster’s Dilemma: Extreme…A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger (2016)A discussion on: Of Quantiles…Probabilistic Forecasting (2014)Probabilistic ForecastingCombining predictive distributions (2013)Combining predictive distribu…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Quantiles as optimal point forecasts (2010)Quantiles as optimal point fo…Evaluating Value-at-Risk Models with Desk-Level Data (2009)Evaluating Value-at-Risk Mode…Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Strictly Proper Scoring Rules…Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves (2007)Semi-Nonparametric IV Estimat…Probabilistic Forecasts, Calibration and Sharpness (2007)Probabilistic Forecasts, Cali…Evaluation and Combination of Conditional Quantile Forecasts (2005)Evaluation and Combination of…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAn Overview of Value at Risk (1997)An Overview of Value at RiskComparing Predictive Accuracy (1995)Comparing Predictive AccuracyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Comparing Predictive Accuracy (1994)Realized Variance and Market Microstructure Noise (2006)The VIX, the variance premium and stock market volatility (2014)Generalized autoregressive conditional heteroskedasticity (1986)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CoVaR (2016)Coherent Measures of Risk (1999)Retail forecasting: Research and practice (2019)Forecasting: theory and practice (2022)An Almost Ideal Demand System (1980)Quadratic Engel Curves and Consumer Demand (1997)The analysis of household surveys (1997)Tricks with Hicks: The EASI Demand System (2009)Children's Resources in Collective Households: Identification, Estimation, and an Application to Child Poverty in Malawi (2013)Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework (2017)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2003)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Measuring Economic Policy Uncertainty* (2016)Macroeconomic Nowcasting and Forecasting with Big Data (2018)Banking Crises Without Panics* (2020)How is machine learning useful for macroeconomic forecasting? (2022)Combining forecasts: A review and annotated bibliography (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Evaluating Probabilistic Forecasts with scoringRules (2019)Forecast combinations: An over 50-year review (2022)
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References

  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,848 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2007Probabilistic Forecasts, Calibration and Sharpness1,793 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,348 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2014Probabilistic Forecasting924 cited
  • 2019Vulnerable Growth779 cited
  • 2007Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves468 cited
  • 2009Evaluating Value-at-Risk Models with Desk-Level Data366 cited
  • 2005Evaluation and Combination of Conditional Quantile Forecasts279 cited
  • 2010Quantiles as optimal point forecasts217 cited
  • 2013Combining predictive distributions216 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
  • 2017Forecaster’s Dilemma: Extreme Events and Forecast Evaluation

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