Narrow search
Showing 1 - 10 of 79,652
Cover Image
Weights and pools for a Norwegian density combination
Bjørnland, Hilde; Gerdrup, Karsten; Smith, Christie; … - Norges Bank - 2010
dfferent combination and selection methods using the Kullback-Leibler information criterion (KLIC). We use linear and … by KLIC. …
Persistent link: https://www.econbiz.de/10008465072
Cover Image
Evaluating Ensemble Density Combination - Forecasting GDP and Inflation
Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; … - 2009
Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight attached to other independent models may be lower than warranted by their...
Persistent link: https://www.econbiz.de/10012143724
Cover Image
Weights and pools for a Norwegian density combination
Bjørnland, Hilde Christiane; Gerdrup, Karsten; Jore, … - In: The North American journal of economics and finance : a … 22 (2011) 1, pp. 61-76
Persistent link: https://www.econbiz.de/10009266781
Cover Image
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008
multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …
Persistent link: https://www.econbiz.de/10010325942
Cover Image
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - 2013
-Leibler Information Criterion, but using (out-of-sample) conditional likelihood and censored likelihood in order to focus the evaluation …
Persistent link: https://www.econbiz.de/10010326216
Cover Image
Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …
Persistent link: https://www.econbiz.de/10011377261
Cover Image
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …
Persistent link: https://www.econbiz.de/10011256012
Cover Image
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute
multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …
Persistent link: https://www.econbiz.de/10005144392
Cover Image
Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - School of Economics, UNSW Business School - 2008
multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …
Persistent link: https://www.econbiz.de/10005422761
Cover Image
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; … - Tinbergen Instituut - 2013
-Leibler Information Criterion, but using (out-of-sample) conditional likelihood and censored likelihood in order to focus the evaluation …
Persistent link: https://www.econbiz.de/10011257469