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Evaluation and Combination of Conditional Quantile Forecasts
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Improved methods of combining forecasts
inferredcites →https://doi.org/10.1002/for.3980080303openalex-snapshot
Invited review combining forecasts—twenty years later
inferredcites →https://doi.org/10.1007/s001810000059openalex-snapshot
Integrated Conditional Moment testing of quantile regression models
inferredcites →https://doi.org/10.1007/s001810000062openalex-snapshot
Conditional value-at-risk: Aspects of modeling and estimation
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On the formulation of empirical models in dynamic econometrics
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Optimal forecast combinations under general loss functions and forecast error distributions
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Robust out-of-sample inference
inferredcites →https://doi.org/10.1016/s0304-4076(01)00078-1openalex-snapshot
Encompassing tests when no model is encompassing
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A consistent test for nonlinear out of sample predictive accuracy
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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
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Testing and comparing Value-at-Risk measures
inferredcites →https://doi.org/10.1016/s0927-5398(97)00008-xopenalex-snapshot
Tail index and quantile estimation with very high frequency data
inferredcites →https://doi.org/10.1017/s0266466600007167openalex-snapshot
Conditional Quantile Estimation and Inference for Arch Models
inferredcites →https://doi.org/10.1017/s0266466698141051openalex-snapshot
A CONSISTENT NONPARAMETRIC TEST OF PARAMETRIC REGRESSION MODELS UNDER CONDITIONAL QUANTILE RESTRICTIONS
inferredcites →https://doi.org/10.1080/02664769823188openalex-snapshot
Combining forecast quantiles using quantile regression: Investigating the derived weights, estimator bias and imposing constraints
inferredcites →https://doi.org/10.1080/10920277.1999.10595797openalex-snapshot
Extreme Value Theory as a Risk Management Tool
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A Reality Check for Data Snooping
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Kernel and Nearest-Neighbor Estimation of a Conditional Quantile
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Forecasting Output and Inflation: The Role of Asset Prices
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The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
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Large Sample Properties of Generalized Method of Moments Estimators
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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An Information-Theoretic Alternative to Generalized Method of Moments Estimation
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Asymptotic Inference about Predictive Ability
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A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns
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Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
inferred← citeshttps://doi.org/10.1093/jjfinec/nbu032openalex-snapshot
Overnight News and Daily Equity Trading Risk Limits
inferred← citeshttps://doi.org/10.1093/jjfinec/nbx019openalex-snapshot
Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation
inferred← citeshttps://doi.org/10.1093/jjfinec/nby019openalex-snapshot
Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series
inferred← citeshttps://doi.org/10.1093/oxfordhb/9780195398649.013.0016openalex-snapshot
Testing Conditional Predictive Ability
inferred← citeshttps://doi.org/10.1101/2025.07.20.25331802openalex-snapshot
From metric to action: The decision value of infectious disease forecasts
inferred← citeshttps://doi.org/10.1108/jrf-06-2023-0137openalex-snapshot
Forecasting value-at-risk and expected shortfall in emerging market: does forecast combination help?
inferred← citeshttps://doi.org/10.1108/mf-01-2015-0026openalex-snapshot
International diversification for portfolios of European fixed-income mutual funds
inferred← citeshttps://doi.org/10.1109/icse48619.2023.00143openalex-snapshot
Keyword Extraction From Specification Documents for Planning Security Mechanisms
inferred← citeshttps://doi.org/10.1111/iere.12619openalex-snapshot
TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
inferred← citeshttps://doi.org/10.1111/j.1468-0262.2006.00671.xopenalex-snapshot
Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
inferred← citeshttps://doi.org/10.1111/j.1468-0262.2006.00718.xopenalex-snapshot
Tests of Conditional Predictive Ability
inferred← citeshttps://doi.org/10.1111/jmcb.13121openalex-snapshot
Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions
inferred← citeshttps://doi.org/10.1111/joes.12522openalex-snapshot
Direct versus iterated multiperiod Value‐at‐Risk forecasts
inferred← citeshttps://doi.org/10.1111/jtsa.12426openalex-snapshot
On the Comparison of Interval Forecasts
inferred← citeshttps://doi.org/10.1111/obes.12247openalex-snapshot
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective
inferred← citeshttps://doi.org/10.1142/s2010495218500094openalex-snapshot
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT
inferred← citeshttps://doi.org/10.1146/annurev-statistics-022513-115631openalex-snapshot
Statistics and Quantitative Risk Management for Banking and Insurance
inferred← citeshttps://doi.org/10.1146/annurev-statistics-032921-020240openalex-snapshot
Model Diagnostics and Forecast Evaluation for Quantiles
inferred← citeshttps://doi.org/10.1198/016214506000001437openalex-snapshot
Strictly Proper Scoring Rules, Prediction, and Estimation
inferred← citeshttps://doi.org/10.1198/jasa.2011.r10138openalex-snapshot
Making and Evaluating Point Forecasts
inferred← citeshttps://doi.org/10.1198/jbes.2009.07063openalex-snapshot
Backtesting Parametric Value-at-Risk With Estimation Risk
inferred← citeshttps://doi.org/10.1198/jbes.2010.07318openalex-snapshot
Evaluating Value-at-Risk Models via Quantile Regression
inferred← citeshttps://doi.org/10.1198/jbes.2010.08110openalex-snapshot
Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
inferred← citeshttps://doi.org/10.1198/jbes.2010.08203openalex-snapshot
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
inferred← citeshttps://doi.org/10.1201/9781439818541-29openalex-snapshot
Dangers and Opportunities for the Russian Banking Sector: 2007-2008
inferred← citeshttps://doi.org/10.1201/9781439818541-c20openalex-snapshot
Dangers and Opportunities for the Russian Banking Sector
inferred← citeshttps://doi.org/10.1214/23-aoas1841openalex-snapshot
Forecasting U.S. inflation using Bayesian nonparametric models
inferred← citeshttps://doi.org/10.1257/002205103322436197openalex-snapshot
Forecasting Output and Inflation: The Role of Asset Prices
inferred← citeshttps://doi.org/10.12775/dem.2010.006openalex-snapshot
The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
inferred← citeshttps://doi.org/10.12775/dem.2015.006openalex-snapshot
Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts
inferred← citeshttps://doi.org/10.1287/opre.1080.0665openalex-snapshot
Evaluating Quantile Assessments
inferred← citeshttps://doi.org/10.1287/opre.2016.1539openalex-snapshot
On the Measurement of Economic Tail Risk
inferred← citeshttps://doi.org/10.1371/journal.pone.0303962openalex-snapshot
High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions
inferred← citeshttps://doi.org/10.1515/jtse-2019-0021openalex-snapshot
Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts
inferred← citeshttps://doi.org/10.1515/snde-2016-0044openalex-snapshot
A semiparametric nonlinear quantile regression model for financial returns
inferred← citeshttps://doi.org/10.17848/9780880993937.ch5openalex-snapshot
Forecasting Asset Prices Using Nonlinear Models
inferred← citeshttps://doi.org/10.17848/9780880993937.ch6openalex-snapshot
Perspectives on Evaluating Macroeconomic Forecasts
inferred← citeshttps://doi.org/10.17848/9780880993937.ch7openalex-snapshot
Combining Forecasts with Many Predictors
inferred← citeshttps://doi.org/10.20955/wp.2019.018openalex-snapshot
Diverging Tests of Equal Predictive Ability
inferred← citeshttps://doi.org/10.21203/rs.3.rs-9287691/v1openalex-snapshot
An outlier-robust dynamic semiparametric model for jointly forecasting value-at-risk and expected shortfall
inferred← citeshttps://doi.org/10.21236/ada454828openalex-snapshot
Strictly Proper Scoring Rules, Prediction, and Estimation
inferred← citeshttps://doi.org/10.2139/ssrn.1070321openalex-snapshot
Comparison of Volatility Measures: A Risk Management Perspective
inferred← citeshttps://doi.org/10.2139/ssrn.1107185openalex-snapshot
Is the Distribution of Stock Returns Predictable?
inferred← citeshttps://doi.org/10.2139/ssrn.1135531openalex-snapshot
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
inferred← citeshttps://doi.org/10.2139/ssrn.1425548openalex-snapshot
Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector
inferred← citeshttps://doi.org/10.2139/ssrn.1591049openalex-snapshot
Backtesting Value-at-Risk Models: A Multivariate Approach
inferred← citeshttps://doi.org/10.2139/ssrn.1688385openalex-snapshot
GFC-Robust Risk Management Strategies under the Basel Accord
inferred← citeshttps://doi.org/10.2139/ssrn.2070018openalex-snapshot
The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction
inferred← citeshttps://doi.org/10.2139/ssrn.2297226openalex-snapshot
Are Benefits from Oil - Stocks Diversification Gone? New Evidence from a Dynamic Copula and High Frequency Data
inferred← citeshttps://doi.org/10.2139/ssrn.2307872openalex-snapshot
Predicting Volatility and Correlations with Financial Conditions Indexes
inferred← citeshttps://doi.org/10.2139/ssrn.2313047openalex-snapshot
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
inferred← citeshttps://doi.org/10.2139/ssrn.2429487openalex-snapshot
Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility
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