Forecast comparisons in unstable environments

By R. Giacomini, Barbara Rossi. 2010

434 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8876341d94f3021cfcec05962d328fadfa8bf1f7

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Citations in the corpus

Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2011, neutral): “This article is closely related to the works by Pesaran and Timmermann (2007) and Clark and McCracken (2009), and more distantly related to Pesaran, Pettenuzzo, and Timmermann (2006) and Giacomini and Rossi (2010).”
Macroeconomic forecast accuracy in a data‐rich environment (2019, positive): “Following the Monte Carlo results in Giacomini and Rossi (2010), the moving average of the standardized difference of MSPEs is produced with a 162-month window, which corresponds to 30% of the out-of-sample period.”
Advances in Forecasting Under Instability (2012, positive): “…based on assessing the expected loss of some forecast relative 12 2010b) focus on the relative evaluation of two models.12 In particular, Giacomini and Rossi (2010a) test the null hypothesis: E ( Lj+h) = 0; 8t = R; :::; T; (11) They introduce two classes of methods, which depend on…”
Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings (2015, methodology): “For this, we have implemented the fluctuation test of Giacomini and Rossi (2010), using elementary scores as loss functions, with values θ in the centre of the support of the predictand.”
Dynamic factor model with infinite‐dimensional factor space: Forecasting (2016, background): “and factor-based forecasts has been studied and discussed in Stock and Watson (2002a), D’Agostino et al.”
Exchange Rate Predictability (2013, positive): “We report results based on the Giacomini and Rossi (2010) and the Inoue and Rossi (2012) tests in Figures 1 to 6.”
Can Oil Prices Forecast Exchange Rates (2011, positive): “Predictive ability, when it exists, is unstable over time (see Rossi, 2006, and Giacomini and Rossi, 2010).”
On the sources of uncertainty in exchange rate predictability (2018, positive): “Notes: The Figure shows the Giacomini and Rossi’s (2010) one-sided Fluctuation test (Ft-test) based on DMW-test for the BMA including TVar-Coeffs and the BMA excluding TVar-Coeffs.”