density forecasts
The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts
... and density forecasts, they can exhibit accuracy gains which remain concealed if the evaluation is based only on MSFE ...point forecasts that are superior to those obtained from a linear model, when ...
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Empirical exchange rate models and currency risk: some evidence from density forecasts
... produce density forecasts that are statistically significantly different from the actual density of exchange rates data over the forecast ...considered, density forecasts that are ...
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Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility
... improved forecasts by allowing the conditional volatility to be completely time variant by specifying the VAR innovation vari- ance as a distinct discrete time ...improve density forecasts, ...
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Comparing the accuracy of density forecasts from competing GARCH models
... to density forecasts (West et al ...point forecasts to event probability forecasts by Granger and Pesaran (1996) and to density forecasts by Diebold et ...sub-optimal ...
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From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts (9 MB)
... the forecasts by adding them to the point forecasts readily available from the SPF (as suggested in the description of the forecasting algorithm on ...year-on-year forecasts of GDP growth and ...
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Calibrating Probability Density Forecasts with Multi objective Search
... of density fore- casting models for regression in machine learning can be formulated as a multi-objective ...better density forecasts from a prediction users ...
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Point And Density Forecasts In Panel Data Models
... accurate density forecasts, we can also use the estimated model to analyze the latent heterogeneity structure and understand the eects of dierent factors ...
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Evaluating point and density forecasts of DSGE models
... the forecasts derived from each data ...the forecasts for the different historical data vintages reveals some notable ...point forecasts cannot predict a recession, the possibility that a large ...
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ARCH models for multi period forecast uncertainty a reality check using a panel of density forecasts
... their forecasts, respondents can obtain partial information about current quarter from many objective ...sources. Forecasts may also reflect individual experiences in specific markets and forecasters’ ...
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Evaluating density forecasts: a comment
... The example pertains to a typical practical situation when none of the compared forecasts can be called “ideal”. All forecasts are not well-calibrated to different degrees (Table 3). For example “Hi- full” ...
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Forecasting bubbles with mixed causal noncausal autoregressive models
... perform density forecasts of mixed causal-noncausal autoregressive (hereafter MAR) ...and density forecasts of purely noncausal MAR(0,1) processes with Cauchy-distributed errors, for which the ...
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Essays on the applications of distributional scaling in finance: Estimation, forecasting and inference
... The density forecasting performance of the new unifractal method was compared against existing methods using both intraday and daily data in an empirical application with 5-minute intraday data on major exchange ...
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Using conditional kernel density estimation for wind power density forecasting
... producing density forecasts for the wind power generated at individual wind ...kernel density (CKD) estimation, which enables a nonparametric modeling of the conditional density of wind ...
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Forecasting bubbles with mixed causal noncausal autoregressive models
... When it comes to forecasting MAR models, different approaches are avail- able. One can predict the next points of the series based on conditional expectations. Alternatively, one can forecast densities, with for instance ...
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Evaluating Density Forecasting Models
... evaluating density forecasting ...of density forecasts with any degree of ...of density forecast evaluation being a considerably more complex problem than point ...
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Does a financial accelerator improve forecasts during financial crises?: Evidence from Japan with Prediction Pool Methods
... the density forecasts of two competing DSGE models based on Kaihatsu and Kurozumi (2014b) and to figure out the causality of the stagnation from our ...
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Prior selection for panel vector autoregressions
... and density forecasts compared to the Minnesota prior and an automatic Bayesian model selection prior for VARs, as well as existing competing priors for ...
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Density forecast comparisons for stock prices, obtained from high frequency returns and daily option prices
... of density forecasts for stock prices. Six sets of forecasts are evaluated for DJIA stocks, across four forecast ...Two forecasts are risk-neutral densities implied by the Black-Scholes and ...
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On selecting policy analysis models by forecast accuracy
... after forecasts are announced, but that the DDV is robust to deterministic breaks that have occurred before forecasting: this section draws on their approach, extending it to open models and to forecasts of ...
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Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?
... All forecasts are computed 5-days-ahead recursively using 1500-day rolling estimation ...walk” forecasts are defined as the last observed daily realized variance (in Panel A) and directional volatility ...
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