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Forecast Combination under Heavy-Tailed Errors [PDF]
Econometrics, 2015 Forecast combination has been proven to be a very important technique to obtain accurate predictions for various applications in economics, finance, marketing and many other areas.
Gang Cheng, Sicong Wang, Yuhong Yang
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On the Forecast Combination Puzzle [PDF]
Econometrics, 2019 It is often reported in the forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods.
Wei Qian +3 more
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Probability Forecast Combination via Entropy Regularized Wasserstein Distance [PDF]
Entropy, 2020 We propose probability and density forecast combination methods that are defined using the entropy regularized Wasserstein distance. First, we provide a theoretical characterization of the combined density forecast based on the regularized Wasserstein ...
Ryan Cumings-Menon, Minchul Shin
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A Data-Weighted Prior Estimator for Forecast Combination [PDF]
Entropy, 2019 Forecast combination methods reduce the information in a vector of forecasts to a single combined forecast by using a set of combination weights. Although there are several methods, a typical strategy is the use of the simple arithmetic mean to obtain ...
Esteban Fernández-Vázquez +2 more
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Quantile forecast combination using stochastic dominance. [PDF]
Empir Econ, 2018 This paper derives optimal forecast combinations based on stochastic dominance efficiency (SDE) analysis with differential forecast weights for different quantiles of forecast error distribution.
Pinar M, Stengos T, Yazgan ME.
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Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate [PDF]
Journal of Business & Economic Statistics, 2009 To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, mis-specification,
Hendry, David F., Hubrich, Kirstin
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To Combine Forecasts or to Combine Information? [PDF]
Econometric Reviews, 2010 When the objective is to forecast a variable of interest but with many explanatory variables available, one could possibly improve the forecast by carefully integrating them. There are generally two directions one could proceed: combination of forecasts (
Huiyu Huang, Tae-Hwy Lee
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Model selection for forecast combination [PDF]
, 2008 In this paper it is advocated to select a model only if it significantly contributes to the accuracy of a combined forecast. Using hold-out-data forecasts of individual models and of the combined forecast, a useful test for equal forecast accuracy can be
Franses, Ph.H.B.F. (Philip Hans)
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Analyzing the Advantage of Combination of Density Forecasts in Tehran Stock Exchange [PDF]
International Journal of Industrial Electronics, Control and Optimization, 2021 Today, stock market plays a key role in the economy of any country and is considered as one of the growth indicators of any economy. Gaining the skills of gathering and analyzing data simultaneously, as well as using this knowledge in economic ...
S.Raheleh Shahrokhi +2 more
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We consider combinations of subjective survey forecasts and model-based forecasts from linear and non-linear univariate specifications as well as multivariate factor-augmented models.
Allan Timmermann +2 more
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