Many applications require forecasts for a hierarchy comprising a set of time series along with aggregates of subsets of these series. Hierarchical forecasting require not only good prediction accuracy at each level of the hierarchy, but also the coherency between different levels — the...

We propose exponentially weighted quantile regression (EWQR) for estimating time-varying quantiles. The EWQR cost function can be used as the basis for estimating the time-varying expected shortfall associated with the EWQR quantile forecast. We express EWQR in a kernel estimation framework, and...

Expectile models are derived using asymmetric least squares. A simple formula has been presented that relates the expectile to the expectation of exceedances beyond the expectile. We use this as the basis for estimating the expected shortfall. It has been proposed that the θ quantile be...

The interaction between social class and perceived risk on the way that consumers use various sources of information is examined in this article. The conclusions reached here suggest that perceived risk explains a great deal about the way that information is acquired and that social class...