Narrow search
Showing 1 - 10 of 24
Cover Image
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 1, pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Cover Image
Censored density forecasts : production and evaluation
Mitchell, James; Weale, Martin - 2021
This paper develops methods for the production and evaluation of censored density forecasts. Censored density forecasts quantify forecast risks in a middle region of the density covering a specified probability, and ignore the magnitude but not the frequency of outlying observations. We propose...
Persistent link: https://www.econbiz.de/10012587322
Cover Image
Censored density forecasts : production and evaluation
Mitchell, James; Weale, Martin - In: Journal of applied econometrics 38 (2023) 5, pp. 714-734
Persistent link: https://www.econbiz.de/10014338140
Cover Image
Localizing strictly proper scoring rules
Punder, Ramon de; Diks, Cees G. H.; Laeven, Roger J. A.; … - 2023
scoring rule to a censored distribution, acknowledging that censoring emerges as a natural localization device due to its …, inflation and climate data consistently emphasize the superior power properties of censoring. …
Persistent link: https://www.econbiz.de/10014450615
Cover Image
Localizing strictly proper scoring rules supplementary material on localizing strictly proper scoring rules
Punder, Ramon de; Diks, Cees G. H.; Laeven, Roger J. A.; … - In: CeNDEF working paper (2023) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10014377691
Cover Image
Censored density forecasts : production and evaluation
Mitchell, James; Weale, Martin - 2022
Persistent link: https://www.econbiz.de/10013375498
Cover Image
Forecasting inflation rates using daily data : a nonparametric midas approach
Breitung, Jörg; Roling, Christoph - In: Journal of forecasting 34 (2015) 7, pp. 588-603
Persistent link: https://www.econbiz.de/10011390487
Cover Image
Instrument-free identification and estimation of the differentiated products models
Byrne, David P.; Imai, Susumu; Sarafidis, Vasilis; … - 2015
Persistent link: https://www.econbiz.de/10011339341
Cover Image
Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
Cover Image
Nonparametric counterfactual predictions in neoclassical models of international trade
Adao, Rodrigo; Costinot, Arnaud; Donaldson, Dave - 2015
Persistent link: https://www.econbiz.de/10011326244