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@article{aastveit2014nowcasting,
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||||
title = {Nowcasting GDP in real time: A density combination approach},
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||||
author = {Aastveit, Knut Are and Gerdrup, Karsten R and Jore, Anne Sofie and Thorsrud, Leif Anders},
|
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journal = {Journal of Business \& Economic Statistics},
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volume = {32},
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number = {1},
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pages = {48--68},
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year = {2014},
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publisher = {Taylor \& Francis}
|
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}
|
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@article{berrisch2023modeling,
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title = {Modeling volatility and dependence of European carbon and energy prices},
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author = {Berrisch, Jonathan and Pappert, Sven and Ziel, Florian and Arsova, Antonia},
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journal = {Finance Research Letters},
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volume = {52},
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pages = {103503},
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year = {2023},
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||||
publisher = {Elsevier}
|
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}
|
||||
@incollection{aastveit2019evolution,
|
||||
title = {The Evolution of Forecast Density Combinations in Economics},
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author = {Aastveit, Knut Are and Mitchell, James and Ravazzolo, Francesco and van Dijk, Herman K},
|
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booktitle = {Oxford Research Encyclopedia of Economics and Finance},
|
||||
year = {2019}
|
||||
}
|
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@article{marcjasz2022distributional,
|
||||
title = {Distributional neural networks for electricity price forecasting},
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author = {Marcjasz, Grzegorz and Narajewski, Micha{\l} and Weron, Rafa{\l} and Ziel, Florian},
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journal = {Energy Economics},
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volume = {125},
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pages = {106843},
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year = {2023},
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doi = {10.1016/j.eneco.2023.106843},
|
||||
publisher = {Elsevier}
|
||||
}
|
||||
@article{atiya2020does,
|
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title = {Why does forecast combination work so well?},
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author = {Atiya, Amir F},
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journal = {International Journal of Forecasting},
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volume = {36},
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pages = {197--200},
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year = {2020},
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||||
publisher = {Elsevier}
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}
|
||||
@article{atsalakis2016using,
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title = {Using computational intelligence to forecast carbon prices},
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author = {Atsalakis, George S},
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publisher = {Elsevier}
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||||
}
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||||
@article{bai2020does,
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title = {Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting},
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author = {Bai, Lan and Li, Xiafei and Wei, Yu and Wei, Guiwu},
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journal = {International Journal of Finance \& Economics},
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year = {2020},
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publisher = {Wiley Online Library}
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}
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@article{benz2009modeling,
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title = {Modeling the price dynamics of CO2 emission allowances},
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author = {Benz, Eva and Tr{\"u}ck, Stefan},
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title = {Sequential quantile prediction of time series},
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author = {Biau, G{\'e}rard and Patra, Beno{\^\i}t},
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@inproceedings{bousquet2001tracking,
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title = {Tracking a small set of experts by mixing past posteriors},
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year = {2001},
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journal = {arXiv preprint arXiv:2003.00585},
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||||
year = {2020}
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||||
}
|
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@article{busetti2017quantile,
|
||||
title = {Quantile aggregation of density forecasts},
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author = {Busetti, Fabio},
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journal = {Oxford Bulletin of Economics and Statistics},
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publisher = {Wiley Online Library}
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}
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@book{cesa2006prediction,
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volume = {25},
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}
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title = {Forecasting with factor-augmented regression: A frequentist model averaging approach},
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|
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}
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@article{chernozhukov2010quantile,
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title = {Quantile and probability curves without crossing},
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author = {Chernozhukov, Victor and Fern{\'a}ndez-Val, Iv{\'a}n and Galichon, Alfred},
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journal = {Econometrica},
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volume = {78},
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number = {3},
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year = {2010},
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publisher = {Wiley Online Library}
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}
|
||||
@article{devaine2013forecasting,
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title = {Forecasting electricity consumption by aggregating specialized experts},
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author = {Devaine, Marie and Gaillard, Pierre and Goude, Yannig and Stoltz, Gilles},
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journal = {Machine Learning},
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volume = {90},
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number = {2},
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pages = {231--260},
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year = {2013},
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publisher = {Springer}
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||||
}
|
||||
@article{dutta2018modeling,
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title = {Modeling and forecasting the volatility of carbon emission market: The role of outliers, time-varying jumps and oil price risk},
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author = {Dutta, Anupam},
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journal = {Journal of Cleaner Production},
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volume = {172},
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pages = {2773--2781},
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year = {2018},
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publisher = {Elsevier}
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}
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@article{eddelbuettel2014rcpparmadillo,
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title = {RcppArmadillo: Accelerating R with high-performance C++ linear algebra},
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author = {Eddelbuettel, Dirk and Sanderson, Conrad},
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journal = {Computational Statistics \& Data Analysis},
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volume = {71},
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pages = {1054--1063},
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year = {2014},
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publisher = {Elsevier}
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}
|
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@article{fragoso2018bayesian,
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title = {Bayesian model averaging: A systematic review and conceptual classification},
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author = {Fragoso, Tiago M and Bertoli, Wesley and Louzada, Francisco},
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journal = {International Statistical Review},
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volume = {86},
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number = {1},
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pages = {1--28},
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year = {2018},
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||||
publisher = {Wiley Online Library}
|
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}
|
||||
@inproceedings{gaillard2014second,
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title = {A second-order bound with excess losses},
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author = {Gaillard, Pierre and Stoltz, Gilles and Van Erven, Tim},
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booktitle = {Conference on Learning Theory},
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pages = {176--196},
|
||||
year = {2014},
|
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organization = {PMLR}
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||||
}
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@incollection{gaillard2015forecasting,
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title = {Forecasting electricity consumption by aggregating experts; how to design a good set of experts},
|
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author = {Gaillard, Pierre and Goude, Yannig},
|
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booktitle = {Modeling and stochastic learning for forecasting in high dimensions},
|
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pages = {95--115},
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||||
year = {2015},
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publisher = {Springer}
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}
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@inproceedings{gaillard2018efficient,
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title = {Efficient online algorithms for fast-rate regret bounds under sparsity},
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author = {Gaillard, Pierre and Wintenberger, Olivier},
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booktitle = {Advances in Neural Information Processing Systems},
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pages = {7026--7036},
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year = {2018}
|
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}
|
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@article{garcia2020short,
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title = {Short-term European Union Allowance price forecasting with artificial neural networks},
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author = {Garc{\'\i}a, Agust{\'\i}n and Jaramillo-Mor{\'a}n, Miguel A},
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journal = {Entrepreneurship and Sustainability Issues},
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volume = {8},
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number = {1},
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pages = {261},
|
||||
year = {2020}
|
||||
}
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@article{gneiting2007strictly,
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title = {Strictly proper scoring rules, prediction, and estimation},
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author = {Gneiting, Tilmann and Raftery, Adrian E},
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journal = {Journal of the American statistical Association},
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year = {2007},
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publisher = {Taylor \& Francis}
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}
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@article{gneiting2011comparing,
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title = {Comparing density forecasts using threshold-and quantile-weighted scoring rules},
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author = {Gneiting, Tilmann and Ranjan, Roopesh},
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journal = {Journal of Business \& Economic Statistics},
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publisher = {Taylor \& Francis}
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}
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@article{gneiting2011making,
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title = {Making and evaluating point forecasts},
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author = {Gneiting, Tilmann},
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|
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}
|
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@article{gneiting2011quantiles,
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title = {Quantiles as optimal point forecasts},
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author = {Gneiting, Tilmann},
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journal = {International Journal of forecasting},
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|
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}
|
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@article{hansen2008least,
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title = {Least-squares forecast averaging},
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@article{hao2020modelling,
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@book{hyndman2018forecasting,
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title = {Forecasting: principles and practice},
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@article{jore2010combining,
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@article{kapetanios2015generalised,
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@inproceedings{koolen2015second,
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title = {Second-order quantile methods for experts and combinatorial games},
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author = {Koolen, Wouter M and Van Erven, Tim},
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@article{koop2013forecasting,
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title = {Forecasting the European carbon market},
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author = {Koop, Gary and Tole, Lise},
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@article{korotin2019integral,
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title = {Integral Mixabilty: a Tool for Efficient Online Aggregation of Functional and Probabilistic Forecasts},
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author = {Korotin, Alexander and V'yugin, Vladimir and Burnaev, Evgeny},
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journal = {arXiv preprint arXiv:1912.07048},
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year = {2019}
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@inproceedings{korotin2020mixing,
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title = {Mixing past predictions},
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author = {Korotin, Alexander and V’yugin, Vladimir and Burnaev, Evgeny},
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@article{lichtendahl2013better,
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@article{maciejowska2020pca,
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title = {PCA Forecast Averaging—Predicting Day-Ahead and Intraday Electricity Prices},
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author = {Maciejowska, Katarzyna and Uniejewski, Bartosz and Serafin, Tomasz},
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@article{nowotarski2018recent,
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title = {Combining density forecasts using focused scoring rules},
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Reference in New Issue
Block a user