Chapter 3 Forecast Evaluation

By Ken West. 2006

84 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

The Tourism Forecasting Competition (2011, background): “There is a gap in the literature between the methodological developments in density forecasting (see, for example, Tay and Wallis, 2002; West, 2006) and the applied forecasting papers that do not produce statements of uncertainty to accompany their point forecasts.”
Advances in Forecast Evaluation (2011, unknown): “This section rst provides an overview of population-level forecast evaluation (relatively brief in light of the detail provided in West (2006)) and recent developments in populationlevel testing.”
Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? (2007, unknown): “We use the notation based on West (2006).”
On the Forecasting Accuracy of Multivariate GARCH Models (2010, background): “Important generalizations can be found West (1996), Clark and McCracken (2001), Clark and West (2006) and Clark and West (2007).”
Multi-Horizon Forecast Comparison (2019, unknown): “Construction of such tests requires a different asymptotic framework, extensively discussed in West (2006).”
Quantile forecasts of daily exchange rate returns from forecasts of realized volatility (2008, unknown): “By allotting only a relatively small fraction of our total observations to the forecast period, we are able to side-step issues related to the e¤ects of in-sample parameter estimation uncertainty on the distribution of the test statistic (see West (2006) for a discussion).”
Copulas in Econometrics (2014, methodology): “In forecasting applications, OOS comparisons of models are widely used (see West 2006 for a general review of this topic).”