Measuring the Market Risk of Freight Rates: A Forecast Combination Approach
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DOI: 10.1002/for.2485
Abstract: This paper addresses the issue of freight rate risk measurement via value at risk (VaR) and forecast combination methodologies while focusing on detailed performance evaluation. We contribute to the literature in three ways: First, we… read more here.
Keywords: combination; forecast combination; risk; combination approach ... See more keywords
Entropy Econometrics for combining regional economic forecasts: A Data-Weighted Prior Estimator
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DOI: 10.1007/s10109-017-0259-9
Abstract: Forecast combination has been studied in econometrics for a long time, and the literature has shown the superior performance of forecast combination over individual predictions. However, there is still controversy on which is the best… read more here.
Keywords: forecast combination; prior estimator; entropy econometrics; weighted prior ... See more keywords
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
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DOI: 10.1080/07474938.2021.1889208
Abstract: Abstract The estimation of a large covariance matrix is challenging when the dimension p is large relative to the sample size n. Common approaches to deal with the challenge have been based on thresholding or… read more here.
Keywords: high dimensional; forecast combination; conditional precision; precision ... See more keywords
A Data-Weighted Prior Estimator for Forecast Combination
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DOI: 10.3390/e21040429
Abstract: 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… read more here.
Keywords: combination; forecast combination; estimator; weighted prior ... See more keywords