1. Electricity demand forecasting and risk management using Gaussian process model with error propagation. (2023). Wu, Ximing ; Wen, Kuangyu.
   In: Journal of Forecasting.
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2. Censored density forecasts: Production and evaluation. (2023). Mitchell, James ; Weale, Martin.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:38:y:2023:i:5:p:714-734.

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3. EFFICIENT ESTIMATION IN EXTREME VALUE REGRESSION MODELS OF HEDGE FUND TAIL RISKS. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien.
   In: Working Papers.
   RePEc:hal:wpaper:hal-04090916.

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4. Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk.
   In: Forecasting.
   RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257.

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5. Estimating and testing skewness in a stochastic volatility model. (2023). Ho, Kyu ; Lee, Cheol Woo.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:72:y:2023:i:c:p:445-467.

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6. Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien.
   In: Papers.
   RePEc:arx:papers:2304.06950.

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7. Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru.
   In: Papers.
   RePEc:arx:papers:2303.01651.

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8. Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza-Maya, Ruben ; Martin, Gael M ; Frazier, David T.
   In: Monash Econometrics and Business Statistics Working Papers.
   RePEc:msh:ebswps:2022-1.

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9. Optimal probabilistic forecasts: When do they work?. (2022). Ramírez Hassan, Andrés ; Loaiza Maya, Rubén ; Loaiza-Maya, Ruben ; Martin, Gael M ; Ramirez-Hassan, Andres ; Frazier, David T ; Maneesoonthorn, Worapree.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:38:y:2022:i:1:p:384-406.

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10. Measurability of functionals and of ideal point forecasts. (2022). Fissler, Tobias ; Holzmann, Hajo.
    In: Papers.
    RePEc:arx:papers:2203.08635.

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11. Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T.
    In: Papers.
    RePEc:arx:papers:2106.12262.

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12. Focused Bayesian prediction. (2021). Loaiza Maya, Rubén ; Loaizamaya, Ruben ; Frazier, David T ; Martin, Gael M.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:5:p:517-543.

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13. A new time-varying model for forecasting long-memory series. (2021). Grigoletto, Matteo ; Bisaglia, Luisa.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00517-7.

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14. Evaluating Growth-at-Risk as a tool for monitoring macro-financial risks in the Peruvian economy. (2021). Nivin, Rafael ; Chicana, Diego.
    In: IHEID Working Papers.
    RePEc:gii:giihei:heidwp07-2021.

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15. Conditional value-at-risk forecasts of an optimal foreign currency portfolio. (2021). Ho, Kyu ; Kim, Dongwhan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:2:p:838-861.

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16. Do financial variables help predict the conditional distribution of the market portfolio?. (2021). Zamenjani, Azam Shamsi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:62:y:2021:i:c:p:327-345.

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17. Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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18. Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun.
    In: Papers.
    RePEc:arx:papers:2101.12693.

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19. Higher Moment Constraints for Predictive Density Combinations. (2020). Vasnev, Andrey ; Radchenko, Peter ; Pauwels, Laurent.
    In: Working Papers.
    RePEc:syb:wpbsba:2123/22140.

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20. Properization: constructing proper scoring rules via Bayes acts. (2020). Gneiting, Tilmann ; Brehmer, Jonas R.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:72:y:2020:i:3:d:10.1007_s10463-019-00705-7.

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21. Optimal probabilistic forecasts: When do they work?. (2020). Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Hassan, Andres Ramirez.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2020-33.

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22. Focused Bayesian Prediction. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2020-1.

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23. Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844.

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24. Comparing density forecasts in a risk management context. (2020). Fang, Hao ; Diks, Cees.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:2:p:531-551.

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25. Partially censored posterior for robust and efficient risk evaluation. (2020). Hoogerheide, Lennart ; Borowska, Agnieszka ; van Dijk, Herman K ; Koopman, Siem Jan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:2:p:335-355.

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26. Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20202378.

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27. Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree.
    In: Papers.
    RePEc:arx:papers:2009.09592.

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28. Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun.
    In: Papers.
    RePEc:arx:papers:2002.09578.

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29. Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20190004.

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30. Predicting China’s Monetary Policy with Forecast Combinations. (2019). Pauwels, Laurent.
    In: Working Papers.
    RePEc:syb:wpbsba:2123/20406.

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31. Higher Moment Constraints for Predictive Density Combinations. (2019). Vasnev, Andrey ; Pauwels, Laurent ; Radchenko, Peter.
    In: Working Papers.
    RePEc:syb:wpbsba:2123/20175.

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32. Strategic judgment: its game-theoretic foundations,its econometric elicitation. (2019). Zanetti Chini, Emilio.
    In: Working Papers.
    RePEc:sap:wpaper:wp190.

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33. Euro area real-time density forecasting with financial or labor market frictions. (2019). Warne, Anders ; McAdam, Peter.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:2:p:580-600.

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34. Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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35. Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben.
    In: Papers.
    RePEc:arx:papers:1912.12571.

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36. Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction. (2018). Li, Mengheng ; Koopman, Siem Jan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20180027.

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37. Scoring rules for simple forecasting models: The case of Cyprus GDP and its sectors. (2018). Andreou, Elena ; Kourtellos, Andros.
    In: Cyprus Economic Policy Review.
    RePEc:erc:cypepr:v:12:y:2018:i:1:p:59-73.

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38. The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469.

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39. Are macroeconomic density forecasts informative?. (2018). Clements, Michael.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:2:p:181-198.

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40. Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir.
    In: Papers.
    RePEc:arx:papers:1812.07318.

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41. A new time-varying model for forecasting long-memory series. (2018). Grigoletto, Matteo ; Bisaglia, Luisa.
    In: Papers.
    RePEc:arx:papers:1812.07295.

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42. Improving Value-at-Risk Estimation from the Normal EGARCH Model. (2017). Sajjad, Rasoul ; Gorji, Mahsa.
    In: Contemporary Economics.
    RePEc:wyz:journl:id:492.

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43. Alternative tests for correct specification of conditional predictive densities. (2017). Sekhposyan, Tatevik ; Rossi, Barbara.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1416.

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44. Risk forecasting in (T)GARCH models with uncorrelated dependent innovations. (2017). Beckers, Benjamin ; Seidel, Moritz ; Herwartz, Helmut.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:1:p:121-137.

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45. A robust statistical approach to select adequate error distributions for financial returns. (2017). Hambuckers, J ; Heuchenne, C.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:44:y:2017:i:1:p:137-161.

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46. Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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47. Optimal density forecast combinations. (2017). Ganics, Gergely.
    In: Working Papers.
    RePEc:bde:wpaper:1751.

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48. Assessing the economic value of probabilistic forecasts in the presence of an inflation target. (2016). Wakerly, Elizabeth ; Vahey, Shaun ; McDonald, Chris ; Thamotheram, Craig.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2016/10.

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49. Assessing the economic value of probabilistic forecasts in the presence of an inflation target. (2016). Wakerly, Elizabeth ; Vahey, Shaun ; Thamotheram, Craig ; McDonald, Christopher .
    In: CAMA Working Papers.
    RePEc:een:camaaa:2016-40.

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50. Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline .
    In: Working Papers Series.
    RePEc:bcb:wpaper:446.

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51. Assessing the Economic Value of Probabilistic Forecasts in the Presence of an Inflation Target. (2015). Vahey, Shaun ; Wakerly, Elizabeth C ; McDonald, Christopher ; Thamotheram, Craig.
    In: EMF Research Papers.
    RePEc:wrk:wrkemf:09.

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52. Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions. (2015). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s241-s255.

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53. Generalised density forecast combinations. (2015). Price, Simon ; Mitchell, James ; Fawcett, Nicholas ; Kapetanios, G.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:188:y:2015:i:1:p:150-165.

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54. Alternative Tests for Correct Specification of Conditional Predictive Densities. (2015). Sekhposyan, Tatevik ; Rossi, Barbara.
    In: Working Papers.
    RePEc:bge:wpaper:758.

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55. Forecasting in nonstationary environments: What works and what doesnt in reduced-form and structural models. (2014). Rossi, Barbara ; Giacomini, Raffaella.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1476.

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56. Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities. (2014). van der Wel, Michel ; van Dijk, Dick ; Opschoor, Anne.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140090.

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57. Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation. (2014). van Dijk, Herman ; Gatarek, Lukasz ; Hoogerheide, Lennart ; Hooning, Koen .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130060.

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58. Higher order conditional moment dynamics and forecasting value-at-risk (in Russian). (2014). Franguridi, Grigory .
    In: Quantile.
    RePEc:qnt:quantl:y:2014:i:12:p:69-82.

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59. Theoretical guidelines for a partially informed forecast examiner. (2014). Tsyplakov, Alexander.
    In: MPRA Paper.
    RePEc:pra:mprapa:55017.

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60. Generalised Density Forecast Combinations. (2014). Price, Simon ; Mitchell, James ; Fawcett, Nicholas ; Kapetanios, G..
    In: CAMA Working Papers.
    RePEc:een:camaaa:2014-24.

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61. Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set. (2014). Sekhposyan, Tatevik ; Rossi, Barbara.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:3:p:662-682.

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62. Comparing the accuracy of multivariate density forecasts in selected regions of the copula support. (2014). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees ; Sokolinskiy, Oleg .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:48:y:2014:i:c:p:79-94.

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63. Generalised density forecast combinations. (2014). Price, Simon ; Mitchell, James ; Fawcett, Nicholas ; Kapetanios, George.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0492.

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64. Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models. (2014). Rossi, Barbara ; Giacomini, Raffaella.
    In: Working Papers.
    RePEc:bge:wpaper:819.

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65. Conditional predictive density evaluation in the presence of instabilities. (2013). Sekhposyan, Tatevik ; Rossi, Barbara.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1368.

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66. Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support. (2013). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees ; Sokolinskiy, Oleg .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130061.

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67. Conditional predictive density evaluation in the presence of instabilities. (2013). Sekhposyan, Tatevik ; Rossi, Barbara.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:199-212.

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68. Bayesian semiparametric multivariate GARCH modeling. (2013). Maheu, John ; Jensen, Mark.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:1:p:3-17.

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69. Copula Methods for Forecasting Multivariate Time Series. (2013). Patton, Andrew .
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-899.

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70. Advances in Forecasting under Instability. (2013). Rossi, Barbara.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-1203.

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71. A Bayesian semiparametric model for volatility with a leverage effect. (2013). Griffin, Jim ; Delatola, E.-I., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:60:y:2013:i:c:p:97-110.

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72. Conditional Predictive Density Evaluation in the Presence of Instabilities. (2013). Rossi, Barbara ; Sehkposyan, Tatevik .
    In: Working Papers.
    RePEc:bge:wpaper:688.

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73. Real-Time Forecast Density Combinations (Forecasting US GDP Growth Using Mixed-Frequency Data). (2012). Urbain, Jean-Pierre ; Hecq, Alain ; Götz, Thomas ; Gotz Thomas B., .
    In: Research Memorandum.
    RePEc:unm:umamet:2012021.

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74. Practical considerations for optimal weights in density forecast combination. (2012). Vasnev, Andrey L. ; Pauwels, Laurent L..
    In: Working Papers.
    RePEc:syb:wpbsba:01/2013.

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2. The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling. (2015). Chan, Joshua ; Joshua C. C. Chan, .
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4. Point and density forecasts for the euro area using Bayesian VARs. (2015). Henzel, Steffen ; Berg, Tim.
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5. Asymmetric Quantile Persistence and Predictability: the Case of US Inflation. (2015). Zerom, Dawit ; Manzan, Sebastiano .
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9. Bond returns and market expectations. (2013). Costantini, Riccardo ; Altavilla, Carlo ; Carlo Altavilla , ; Giacomini, Raffaella.
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12. Constructing Optimal Density Forecasts from Point Forecast Combinations. (2012). Lima, Luiz ; Gaglianone, Wagner ; Luiz Renato Regis de Oliveira Lima, .
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13. Multivariate Rotated ARCH Models. (2012). Sheppard, Kevin ; Shephard, Neil ; Noureldin, Diaa.
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14. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
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15. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). McAleer, Michael ; Caporin, Massimiliano.
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17. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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18. Common Drifting Volatility in Large Bayesian VARs. (2012). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
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19. Prior Selection for Vector Autoregressions. (2012). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
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22. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models. (2011). McCabe, Brendan ; Martin, Gael ; Forbes, Catherine ; Brendan P. M. McCabe, ; Ng, Jason .
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23. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). Diks, Cees ; Panchenko, Valentyn ; van Dijk, Dick.
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24. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu .
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25. Scoring rules and survey density forecasts. (2011). Wallis, Kenneth ; Smith, Jeremy ; Boero, Gianna.
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26. Multivariate semi-nonparametric distributions with dynamic conditional correlations. (2011). Perote, Javier ; Ñíguez Grau, Trino ; DEL BRIO, ESTHER.
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27. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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28. Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Tom ; Maheu, John.
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29. Real-time inflation forecast densities from ensemble Phillips curves. (2011). Wakerly, Elizabeth ; Vahey, Shaun ; Mitchell, James ; Garratt, Anthony.
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30. Combining VAR and DSGE forecast densities. (2011). Vahey, Shaun ; Mitchell, James ; Jore, Anne Sofie ; ShaunP. Vahey, ; Bache, Ida Wolden .
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31. Measuring Core Inflation in Australia with Disaggregate Ensembles. (2010). Ravazzolo, Francesco ; Vahey, Shaun P.
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32. Combining forecast densities from VARs with uncertain instabilities. (2010). Vahey, Shaun ; Mitchell, James ; Jore, Anne Sofie.
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34. Comparing and evaluating Bayesian predictive distributions of asset returns. (2010). Geweke, John ; amisano, gianni.
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35. Retrieving risk neutral densities from European option prices based on the principle of maximum entropy. (2010). Rompolis, Leonidas.
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36. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2010). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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37. Forecasting with DSGE models. (2010). Warne, Anders ; Coenen, Günter ; Christoffel, Kai.
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38. Long memory and nonlinearities in realized volatility: a Markov switching approach.. (2010). Raggi, Davide ; Bordignon, S..
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39. Oil and US GDP: A real-time out-of-sample examination. (2010). Rothman, Philip ; Ravazzolo, Francesco.
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40. Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns. (2010). Tsiaras, Leonidas.
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41. Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?. (2009). Zerom, Dawit ; Manzan, Sebastiano .
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42. Understanding forecast failure in ESTAR models of real exchange rates. (2009). Buncic, Daniel.
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43. Testing Predictive Ability and Power Robustification. (2009). Song, Kyungchul.
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44. Understanding forecast failure of ESTAR models of real exchange rates. (2009). Buncic, Daniel.
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45. Inflation and Inflation Uncertainty in the Euro Area. (2009). Paesani, Paolo ; onorante, luca ; Caporale, Guglielmo Maria.
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46. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Tom ; Maheu, John.
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47. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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48. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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49. Out-of-sample comparison of copula specifications in multivariate density forecasts. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
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50. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
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