Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions-Reference-Cited by-同舟云学术

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Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions

Published:2022-03-11 Issue:2 Volume:41 Page:482-496
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Iacopini Matteo¹²^ORCID,Ravazzolo Francesco³⁴⁵^ORCID,Rossini Luca⁶⁷^ORCID

Affiliation:

1. Vrije Universiteit Amsterdam, Amsterdam, The Netherlands

2. Tinbergen Institute, Amsterdam, The Netherlands

3. Free University of Bozen-Bolzano, Italy

4. BI Norwegian Business School, Oslo, Norway

5. RCEA, Rimini, Italy

6. University of Milan, Milan, Italy

7. Ca’ Foscari University of Venice, Venice, Italy

Funder

Marie Sklodowska-Curie

Ministero dell'Istruzione, dell'Università e della Ricerca

Hi-Di NET - Econometric Analysis of High Dimensional Models with Network Structures in Macroeconomics and Finance

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2022.2035229

Reference55 articles.

1. Modeling and forecasting energy consumption in China: Implications for Chinese energy demand and imports in 2020

2. Comparing Density Forecasts via Weighted Likelihood Ratio Tests

3. Fiscal forecasting: The track record of the IMF, OECD and EC

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1. A machine learning approach in stress testing US bank holding companies;International Review of Financial Analysis;2024-10

2. Building Trees for Probabilistic Prediction via Scoring Rules;Technometrics;2024-05-14

3. An infinite hidden Markov model with stochastic volatility;Journal of Forecasting;2024-04-02

4. A review of predictive uncertainty estimation with machine learning;Artificial Intelligence Review;2024-03-18

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