Higher Moment Constraints for Predictive Density Combination-Reference-Cited by-同舟云学术

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Higher Moment Constraints for Predictive Density Combination

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Pauwels Laurent L.,Radchenko Peter,Vasnev Andrey L.

Publisher

Elsevier BV

Reference38 articles.

1. Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model;S Anyfantaki;Econometric Reviews,2016

2. Bayesian Nonparametric Calibration and Combination of Predictive Distributions;F Bassetti;Journal of the American Statistical Association,2018

3. The combination of forecasts;J M Bates;Operational Research Quarterly,1969

4. Time-varying combinations of predictive densities using nonlinear filtering;M Billio;Journal of Econometrics,2013

5. Generalized autoregressive conditional heteroskedasticity;T Bollerslev;Journal of Econometrics,1986

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal probabilistic forecasts: When do they work?;International Journal of Forecasting;2022-01

2. Focused Bayesian prediction;Journal of Applied Econometrics;2021-05-09

3. Bayesian Nonparametric Forecast Pooling;SSRN Electronic Journal;2020

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