Similar Search Results

Averaging forecasts from VARs with uncertain instabilities

Clark, Todd E.; McCracken, Michael W. - In: Journal of applied econometrics 25 (2010) 1, pp. 5-29

Persistent link: https://www.econbiz.de/10008666818

Macroeconomic forecasting performance under alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - In: Journal of applied econometrics 30 (2015) 4, pp. 551-575

Persistent link: https://www.econbiz.de/10011332869

Tests of equal forecast accuracy for overlapping models

Clark, Todd E.; McCracken, Michael W. - In: Journal of applied econometrics 29 (2014) 3, pp. 415-430

Persistent link: https://www.econbiz.de/10010414888

Averaging forecasts from VARs with uncertain instabilities

Clark, Todd E.; McCracken, Michael W. - 2007

Persistent link: https://www.econbiz.de/10003827262

Combining forecasts from nested models

Clark, Todd E.; McCracken, Michael W. - 2007

Persistent link: https://www.econbiz.de/10003827266

Tests of predictive ability for vector autoregressions used for conditional forecasting

Clark, Todd E.; McCracken, Michael W. - In: Journal of applied econometrics 32 (2017) 3, pp. 533-553

Persistent link: https://www.econbiz.de/10011694662

Spectral backtests of forecast distributions with application to risk management

Gordy, Michael B.; McNeil, Alexander J. - 2018

We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user's priorities for model performance. The class...

Persistent link: https://www.econbiz.de/10011927115

Multinomial var backtests : a simple implicit approach to backtesting expected shortfall

Kratz, Marie; Lok, Yen; McNeil, Alexander J. - 2016

Persistent link: https://www.econbiz.de/10011892794

Nowcasting tail risk to economic activity at a weekly frequency

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of applied econometrics 37 (2022) 5, pp. 843-866

Persistent link: https://www.econbiz.de/10013464633

Macroeconomic forecasting in a multi-country context

Bai, Yu; Carriero, Andrea; Clark, Todd E.; Marcellino, … - In: Journal of applied econometrics 37 (2022) 6, pp. 1230-1255

Persistent link: https://www.econbiz.de/10013464673