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Forecast combination under heavy-tailed errors

Cheng, Gang; Wang, Sicong; Yang, Yuhong - In: Econometrics : open access journal 3 (2015) 4, pp. 797-824

for such situations. The familiar forecast combination methods, such as simple average, least squares regression or those …

Persistent link: https://www.econbiz.de/10011411497

Baltagi, Badi H.; Pirotte, Alain - In: Empirical economics : a journal of the Institute for … 40 (2011) 1, pp. 5-49

Persistent link: https://www.econbiz.de/10008859122

Uncovering regimes in out of sample forecast errors from predictive regressions

Silva Neto, Aníbal Emiliano da; Gonzalo, Jesús; … - 2020

Persistent link: https://www.econbiz.de/10012501495

Uncovering regimes in out of sample forecast errors

Silva, Anibal Emiliano da; Gonzalo, Jesús; Pitarakis, … - 2018

Persistent link: https://www.econbiz.de/10011945978

Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - 2010

Persistent link: https://www.econbiz.de/10010270817

Predicting extreme VaR : nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - 2010

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The ….1%) quantiles, where particularly few data points are available, we propose to combine nonparametric quantile regression with … specifications of the Conditionally Autoregressive VaR (CAViaR) models. -- Value at Risk ; nonparametric quantile regression ; risk …

Persistent link: https://www.econbiz.de/10003952845

Empirical analysis of a travel-time forecasting model

You, Jinsoo; Kim, Tschangho John - In: Geographical analysis : an international journal of … 39 (2007) 4, pp. 397-417

Persistent link: https://www.econbiz.de/10003565588

Forecasting inflation rates using daily data : a nonparametric midas approach

Breitung, Jörg; Roling, Christoph - In: Journal of forecasting 34 (2015) 7, pp. 588-603

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GEFCom2012 : electric load forecasting and backcasting with semi-parametric models

Nedellec, Raphael; Cugliari, Jairo; Goude, Yannig - In: International journal of forecasting 30 (2014) 2, pp. 375-381

Persistent link: https://www.econbiz.de/10010510898

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

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