Quantile Aggregation of Density Forecasts

Author:

Busetti Fabio1

Affiliation:

1. Bank of Italy; Directorate General for Economics, Statistics and Research; Via Nazionale 91 00184 Rome Italy

Publisher

Wiley

Subject

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

Reference34 articles.

1. Comparing density forecasts via weighted likelihood ratio tests’,;Amisano;Journal of Business and Economic Statistics,2007

2. Combination of forecasts’,;Bates;Operational Research Quarterly,1969

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

4. The Inflation Report Projections: Understanding the Fan Chart’,;Britton;Bank of England Quarterly Bulletin,1998

5. Busetti , F. Cova , P. 2013 The Macroeconomic Impact of the Sovereign Debt Crisis: A Counterfactual Analysis for the Italian Economy

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