Regardless of the field, forecasts are widely used and yet assessments of the embedded uncertainty-the magnitude of the downside and upside risks of the prediction itself-are often missing. Particularly in policy-making and investment, accounting for these risks around baseline predictions is of...

Density forecast combinations are becoming increasingly popular as a means of improving forecast ‘accuracy', as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score...

Density forecast combinations are becoming increasingly popular as a means of improving forecast 'accuracy', as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score...